※ 引述《londor (I, 萝卜)》之铭言： : Bond A has an embedded option, a nominal yield spread to Tresuries of 1.6%, : a Z-spread of 1.4%, and an OAS of 1.2%. Bond B is identical to Bond A : except that it does not have the embedded option, has a nominal yield : spread to Treasuries of 1.4%, a Z-spread of 1.3%, an OAS of 1.3%. The most : likely option embedded in Bond A, and the bond that is the better value, : are: : A. Put, Bond A : B. Put, Bond B : C. Call, Bond A : D. Call, Bond B : 答案是B，它说Since the OAS is less than the Z-spread for Bond A, the effect : of the embedded option is to decrease the required yield, so it must be a : put option. : 不对吧，Option cost = Z-spread - OAS， : Callable Bond: Option cost >0 , Z-spread > OAS : Puttable Bond: Option cost <0 , Z-spread < OAS : 这样才对吧? 所以答案应该是D : 请赐教教教教~~~~~~~~~~~~~~~~教可教非常教~~~~~~~~~ : 感激不尽~~ OAS is used when a bond has embedded options. a callable bond, for example, must have a greater yield than an identical option-free bond. OAS是把option 的价格加进去之後所得到的spread, 一个call option会使得 债券价格变低,所以spread 会变大,所以相较一个option-free 的bond 的spread 应该是要比较大的,所以我觉得这题应该是put option才对 (B) 有错还请不吝订正,谢谢 --

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