[問題] 一題CFA lv 1的問題
看板CFAiafeFSA (精算師/基金經理人/銀行家)作者londor (I, 蘿蔔)時間17年前 (2008/11/02 09:09)推噓2(2推 0噓 2→)留言4則, 4人參與討論串1/2 (看更多)
Bond A has an embedded option, a nominal yield spread to Tresuries of 1.6%,
a Z-spread of 1.4%, and an OAS of 1.2%. Bond B is identical to Bond A
except that it does not have the embedded option, has a nominal yield
spread to Treasuries of 1.4%, a Z-spread of 1.3%, an OAS of 1.3%. The most
likely option embedded in Bond A, and the bond that is the better value,
are:
A. Put, Bond A
B. Put, Bond B
C. Call, Bond A
D. Call, Bond B
答案是B，它說Since the OAS is less than the Z-spread for Bond A, the effect
of the embedded option is to decrease the required yield, so it must be a
put option.
不對吧，Option cost = Z-spread - OAS，
Callable Bond: Option cost >0 , Z-spread > OAS
Puttable Bond: Option cost <0 , Z-spread < OAS
這樣才對吧? 所以答案應該是D
請賜教教教教~~~~~~~~~~~~~~~~教可教非常教~~~~~~~~~
感激不盡~~
--
Choose life. Choose a job. Choose a career. Choose a family.
Choose a fucking big television.
Choose washing machines, cars, compact disc player and electrical tin openers.
Choose good health, low cholesterol and dental insurance.
Choose fixed-interest mortgage payments. Choose a starter home.
--
※ 發信站: 批踢踢實業坊(ptt.cc)
◆ From: 140.112.4.235
推
11/02 13:07, , 1F
11/02 13:07, 1F
推
11/03 00:13, , 2F
11/03 00:13, 2F
→
11/09 05:09, , 3F
11/09 05:09, 3F
→
11/09 12:30, , 4F
11/09 12:30, 4F
討論串 (同標題文章)
以下文章回應了本文：
完整討論串 (本文為第 1 之 2 篇)：
CFAiafeFSA 近期熱門文章
PTT職涯區 即時熱門文章
