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。
老师请问MBS不是利率路径依赖吗？那这些spread不应该都不适合去衡量MBS债券吗
