NO.PZ2018062006000094
问题如下:
The option value of a callable bond is equal to:
选项:
A. Z-spread minus I-spread.
B. Option-adjusted spread minus Z-spread.
C. Z-spread minus option-adjusted spread.
解释:
C is correct.
By definition, the option value of a callable bond is equal to Z-spread minus option-adjusted spread.
考点:option-adjusted spread (OAS)
解析:对于callable bond来说,OAS就是Z-spread减去option value,option value为z-spread减去OAS,故选项C正确。
callable权利对债券持有人有负向影响,我理解实际债券的价值会变低,z spread比较小,oas会大,答案为什么不是oas-spread