FionaLLL2020-07-02 17:58:52
FionaLLLThe option adjusted spread is the spread added to the Treasury spot rate curve that the bond would have if it were option-free. 为什么不对？
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Danyi2020-07-02 18:04:45
Danyi同学你好，
The option adjusted spread is the spread added to the Treasury spot rate curve that the bond would have if it were option-free. 这句话描述的是Z-spread，题干中问的是option adjusted spread，这是两个不同的spread
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可是那句话里说了if it were option-free，那就不是z-spread呀，z-spread不是含权的吗
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这句话我们是要看前面，is the spread added to the Treasury spot rate curve ，这就是Z-spread的定义。而Z-spread他又同时可以用来计算OAS。
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