问题如下图:
选项:
A.
B.
C.
D.
解释:
我做题时觉得B C 都对
1 答案说,B是错的的这个解释我没看懂g
2. B选项说OAS is not biased by market price of the model. 我理解的是,因为OAS的CF是含权的,所以OAS不含权,那么它本身不像Z-spread, 是含权的。 那么不就说明OAS因为做了prepayment risk的调整,无偏了吗?
NO.PZ2019070101000105 问题如下 Whiis the primary aantage of the option-austepre(OAS) over the static sprea A.Ouses the entire term structure insteof a singlepoint B.OAS, being a valuation mol, is not biasethemarket priof the bon C.Oallows for cash flow changes e to interest ratechanges None, they are the same This is the key iwhile static (Z) spretreatsthe term structure of rates statithe Osimulates severinterest ratepaths antherefore cmol cash flow changes. In regarto (A), this is notcorrebecause both Oanstatic spreuse the entire term structure. Inregarto (B), this is false: Osolves for yielthequates to marketprice. C不太理解,请一下,谢谢
NO.PZ2019070101000105 想问下答案就是选C了吗,B要怎么改才是对的呢,OAS, being a valuation mol, is biasethe market priof the bon谢谢
OAS, being a valuation mol, is not biasethemarket priof the bonOallows for cash flow changes e to interest ratechanges None, they are the same This is the key iwhile static (Z) spretreatsthe term structure of rates statithe Osimulates severinterest ratepaths antherefore cmol cash flow changes. In regarto (A), this is notcorrebecause both Oanstatic spreuse the entire term structure. Inregarto (B), this is false: Osolves for yielthequates to marketprice. 所以AZspea同样的,所以不算是OAS的基本优点对吧?