NO.PZ2023040701000067
问题如下:
Hsu first selects two corporate bonds that are callable at par and have the same characteristics in terms of maturity, credit quality and call dates. Hsu uses the option adjusted spread (OAS) approach to analyze the bonds, assuming an interest rate volatility of 10%. The results of his analysis are presented in Exhibit 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:
Correct Answer: C
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).
OAS=Vcallable bond-Vcall,OAS越大说明Vcallable bond越大,本来这两个债券应该相等,但是OAS大的那个V大,不应该是被高估了吗?