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，它說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. 不對吧，Option cost = Z-spread - OAS， Callable Bond: Option cost >0 , Z-spread > OAS Puttable Bond: Option cost <0 , Z-spread < OAS 這樣才對吧? 所以答案應該是D 請賜教教教教~~~~~~~~~~~~~~~~教可教非常教~~~~~~~~~ 感激不盡~~ -- 　Choose life. Choose a job. Choose a career. Choose a family. Choose a fucking big television. 　Choose washing machines, cars, compact disc player and electrical tin openers. Choose good health, low cholesterol and dental insurance. Choose fixed-interest mortgage payments. Choose a starter home. --

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