Rachel2019-11-12 10:12:41
RachelWhich of the following statements regarding the option adjusted spread (OAS) is most accurate? The option adjusted spread: A is the spread added to the Treasury spot rate curve that the bond would have if it were option-free. B is the spread that accounts for non-option characteristics like credit risk, liquidity risk, and interest rate risk. C for a putable bond is the Z-spread plus the cost of the option putable coast=ZS-option cost 还是ZS option cost? callable cosat = 什么？
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Danyi2019-11-12 15:48:54
Danyi同学你好
对于putable bond来说，它的OAS大于Z-spread, 相当于Z-spread + value of put option
对于callable bond来说， 它的OAS小于Z-spread, 相当于Z-spread - value of call option
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为什么答案选C 关系是minus 而不是plus?
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为什么视频讲解中的答案是C，视频答案写的是for a putable bond is the Z-spread minus the cost of the option
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同学你好，
这边看不到这个视频，麻烦你在试题视频下再提问一下。
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