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Carol · 2022年05月28日

Bond 1 和Bond 2的coupon一样吗?

* 问题详情,请 查看题干

NO.PZ201602270200002101

问题如下:

1. Based on Exhibit 1, Rayes would most likely conclude that relative to Bond #1, Bond #2 is:

选项:

A.

overpriced.

B.

fairly priced.

C.

underpriced.

解释:

C is correct.

The option-adjusted spread (OAS) is the constant spread added to all the one-period forward rates that makes the arbitrage-free value of a risky bond equal to its market price. The OAS approach is often used to assess bond relative values. If two bonds have the same characteristics and credit quality, they should have the same OAS. If this is not the case, the bond with the largest OAS (i.e., Bond #2) is likely to be underpriced (cheap) relative to the bond with the smallest OAS (Bond #1).

如果折现率高价格就低的话,他们的现金流是一样的?我不太理解什么是一样的characteristics。谢谢老师

1 个答案
已采纳答案

pzqa015 · 2022年05月29日

嗨,努力学习的PZer你好:


默认是一样的,如果不一样,没法比较了


题目说了,一样的特点包括信用质量、行权日、到期日。callable一般都是平价发行,如果这些要素都一样,coupon肯定是一样的。

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