04.单选题收藏标记纠错 The following information is available for two bonds: Bond X is callable and has an option-adjusted spread (OAS) of 55bp. Similar bonds have a Z-spread of 68bp and a G-spread of 60bp. Bond Y is putable and has an OAS of 100bp. Similar bonds have a Z-spread of 78bp and a G-spread of 66bp. The embedded option cost for Bond: A X is 13bp. B X is 5bp. C Y is 34bp. 查看解析上一题下一题 正确答案A 您的答案C本题平均正确率：33% Yield spread难度：一般推荐：      答案解析 Option cost (Bond X) = Z-spread – OAS = 68bp – 55bp = 13bp Option cost (Bond Y) = Z-spread – OAS = 78bp – 100bp = - 22bp . 问：这里为什么用Z-spread 不用G的。图中Z和G没有区别，怎么解释？

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李同学2019-03-14 16:27:39

04.单选题收藏标记纠错 The following information is available for two bonds: Bond X is callable and has an option-adjusted spread (OAS) of 55bp. Similar bonds have a Z-spread of 68bp and a G-spread of 60bp. Bond Y is putable and has an OAS of 100bp. Similar bonds have a Z-spread of 78bp and a G-spread of 66bp. The embedded option cost for Bond: A X is 13bp. B X is 5bp. C Y is 34bp. 查看解析上一题下一题 正确答案A 您的答案C本题平均正确率：33% Yield spread难度：一般推荐：      答案解析 Option cost (Bond X) = Z-spread – OAS = 68bp – 55bp = 13bp Option cost (Bond Y) = Z-spread – OAS = 78bp – 100bp = - 22bp . 问：这里为什么用Z-spread 不用G的。图中Z和G没有区别，怎么解释？