NO.PZ2020033003000026
问题如下:
Which of the following statements about spread measures is correct?
选项:
A.In some cases, yield spread can be equal to I-spread. B.The z-spread of callable bonds is equal to the OAS.
C.
For mortgage-backed securities (MBS), only z-spread can be used.
D.The CDS spread can not be applied to soverign bonds.
解释:
A is correct.
考点:Spread Conventions
解析: 当yield curve 是flat的时候,yield spread 和 I-spread相等。
B:对于callable bonds, z-spread > OAS.
C: MBS时应该使用OAS。
D:CDS 适用于sovereign、municipal 以及公司债。
当yield curve是flat的时候,yield spread 和 I-spread相等。
是因为I spread要求maturity match吗~
(我做的时候主要考虑的是interpolated hhh 我是觉得如果求的spread的期限恰巧不需要估计 那二者就一样了hhh 顺便问下我这么想的话 概念上哪里有问题吗~)
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