Re: [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kazumi6533 (patrick)時間17年前 (2008/11/03 01:40)推噓1(1推 0噓 0→)留言1則, 1人參與討論串2/2 (看更多)
※ 引述《londor (I, 蘿蔔)》之銘言：
: 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~~
OAS is used when a bond has embedded options.
a callable bond, for example, must have a greater yield than an identical
option-free bond.
OAS是把option 的價格加進去之後所得到的spread, 一個call option會使得
債券價格變低,所以spread 會變大,所以相較一個option-free 的bond 的spread
應該是要比較大的,所以我覺得這題應該是put option才對 (B)
有錯還請不吝訂正,謝謝
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11/04 23:37, , 1F
11/04 23:37, 1F
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