CFA一級知識點大剖析之Fixed Income

　　1. Which of the following statements about option-adjusted spread and nominal spread is least likely accurate?
　　A. Option-adjusted spread will be lower than the nominal spread if the option favors the investor.
　　B. The difference between option-adjusted spread and nominal spread is zero for mortgage-backed securities because mortgage-backed securities do not contain embedded options.
　　C. The longer the deferred call period, the closer the value of the option-adjusted spread will be to the value of the nominal spread.
　　Correct answer = D
　　Z-Spread＝OAS＋option cost, Nominal spread可以約等于Z-spread，可以用來判斷變化的方向，但是準(zhǔn)確的關(guān)系是上面的公式。
　　A選項，如果option對投資者有利的話，OAS是低于nominal spread的，比如callable bond，所以A是正確的。
　　B選項，MBS是包含一個embedded option的，因為MBS給發(fā)行者一個right of the underlying borrowers in a pool of loans to prepay principal above the scheduled principal payment，所以O(shè)AS和nominal spread之差不是零，C是錯誤的。
　　C選項，The longer the deferred call period, callable bond就越接近于不含權(quán)債券，那么OAS和nominal spread就越接近，D是正確的。
　　2.  Which of the following correctly describes a derivative that is a series of interest put option having expiration dates that corresponding to the reset dates on a floating-rate loans and to protect a floating-rate lender from a decline interest rate?
　　A.        interest rate cap
　　B.        interest rate floor
　　C.        interest rate collar
　　Correct answer = B
　　An interest rate floor is a series of interest put options, having expiration dates that corresponding to the reset dates on a floating-rate loans .The floor rate is minimum rate on the payments on a floating –rate loan.
　　3.  OAS will greater than nominal spread if the option favors the issue，這句話錯在，不是nominal spread，而是z-spread。nominal spread和z-spread其實不是一種spread
　　Solution：首先nominal spread和z-spread不是一種spread。nominal spread是z-spread一個近似和替代，大致相等，但也有差異，（當(dāng)收益率曲線是陡峭的，本金償還速度比較快的時候，他們的差距是大的）
　　另外Z-spread=OAS+OPTION COST，含有對issuer有利的期權(quán)的時候，（callable bond）OPTION COST大于0，則Z-spread>OAS
　　4. An 8% coupon bond with a par value of 100, matures in 6 years and is selling at 95.51 with a yield of 9%.  Exactly one year ago this bond sold at a piece of 90.26 with a yield of 10%. The bond pays annual interest. The change in price attribute to the change in maturity is close to。。。
　　Solution：債券價格的變動是由2方面引起的，一個是時間引起的變動，一個是利率引起的變動。
　　本題要求的是時間變動后引起的價格變動的多少。解題思路是這樣的：
　　pmt=8，n=7，一年前的 I/Y=10%，F(xiàn)V=100，求剛發(fā)行是bond的價格是90.26
　　接著pmt=8，n=6， I/Y=10%，F(xiàn)V=100，求PV， PV=91.28。所以91.28-90.26=1.03
　　那么如果題目是讓你求利率變動引起的價格變動的多少就是這樣求的：
　　pmt=8，n=7 ，  一年前的 I/Y=10%，F(xiàn)V=100，求剛發(fā)行是bond的價格是90.26
　　接著pmt=8，n=7 ， I/Y=9%，F(xiàn)V=100，求PV，因為只要求利率變化的不同，所以不牽扯到時間的變化，算出I/Y=9%的時候，PV=94.96。所以94.96-90.26=4.7