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wxy · 2020年07月25日

The OAS and thus relative cheapness of Bond A

“The second valuation approach,” Jarvis continues, “uses the option-adjusted spread (OAS), a measure of relative value. In this instance, if the bond’s OAS is greater than the OAS of bonds with similar characteristics and credit quality, then it is most likely underpriced. One factor to consider is that if interest rate volatility declines, then the OAS and thus relative cheapness of Bond A will increase.”

Q. Are the comments made by Jarvis regarding OAS most likely correct?

A. No, she is incorrect about the impact of interest rate volatility.

B. Yes.

C. No, she is incorrect about determining under/overvaluation.

the OAS and thus relative cheapness of Bond A will increase这个东西我不能理解,cheapness增加是什么鬼?波动率减小,OAS不应该也是减小吗?

1 个答案

WallE_品职答疑助手 · 2020年07月25日

OAS可以理解成是剔除权力的影响的spread, 当波动降低是,call option 更难被执行。

OAS for callable bond 会变大,应为期权不会被执行了。当spread 变大时,债券的价格就会变的更便宜, 所以cheapness of bond 也会增大。

对了同学,我不知道你这些题目哪里来的,建议做原版书和经典题里面的题目,多做几遍最好。下次提问的时候记得发全文,课后题记得发哪个Reading.

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