NO.PZ2025042401000061
问题如下:
In a zero interest rate volatility environment, the OAS reconciles the market price of a bond to its arbitrage-free value when a constant spread is added to all of the 1-year:
选项:
A.par rates.
B.spot rates.
C.forward rates.
解释:
Solution
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A is incorrect because forward rates, not par rates, are used to calculate OAS through an iterative process.
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B is incorrect because forward rates, not spot rates, are used to calculate OAS through an iterative process.
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C is correct because If the bond’s price is given, the OAS is determined by trial and error. To determine the OAS, we try shifting all the one-year forward rates in each state by adding a constant spread.
- explain the calculation and use of option-adjusted spreads
为什么这里不选spot rate呢