Which of the following statement is correct about the option adjusted spread (OAS ):
A. OAS is Z-Spread minus the option cost.
B. OAS is the value of the embedded option.
C. OAS is Z-spread plus the option cost.
第1题
The zero-volatility spread is a measure of the spread off:
A. one point on the Treasury yield curve.
B. all points on the Treasury yield curve.
C. all points on the Treasury spot curve.
第2题
The U.S. Treasury spot rates are provided in the following table:
Consider a 3-year, 9% annual coupon corporate bond currently trading at $89.464. Given the YTM of a 3-year Treasury is 12%, the Z- spread of the corporate bond is closest to:
A. 1.50%.
B. 1.67%.
C. 1.76%.
第3题
Tina Mo, a fixed income analyst, is asked to value a single, default-free cash flow of $60,000. She is given the information in the following table:
The value of this single cash flow at the end of Period 4 is closest to:
A. $56,427
B. $56,309
C. $56,276
第4题
The U.S. Treasury spot rates are provided in the following table:
Given a consistent corporate spread of 0.50%, what will be the most likely price of a 4% coupon corporate bond with 2 years to maturity?
A. $100.61
B. $102.96
C. $98.92
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