[求助] CFA L1 Fixed Income 问题请教

Jalapeno4u · 发表于 2008-5-31 04:02:00

Schweser June 08 Exam 1 Morning

112. Consider a callable bond issued by Stahl Productions and a putable bond issued by Hearth Creations. Both bonds have option-adjusted spreads of 125 basis points. Which of the following statements about the bonds (from the issuer perspective) could be accurate?

A. The z-spread for Hearth's bond is based on the differences in YTMs.

B. The cost of the put option on the Hearth bond is -10 bp.

C. The spread over the spot rates for a Treasury security similar to Stahl's bond is 110 bp.

D. Given a nominal spread for the Stahl bond of 130 bp, the option cost is 5 bp.

The answer is B.

Why is D not the answer?

liushihua · 发表于 2008-5-31 06:23:00

D不对吧，因为option cost = Z-spred - Option adjusted spread.如果D选项中nominal spread 改成Z-spread 我估计就对了。

ibanking · 发表于 2008-5-31 10:54:00

以下是引用liushihua在2008-5-31 6:23:00的发言：
D不对吧，因为option cost = Z-spred - Option adjusted spread.如果D选项中nominal spread 改成Z-spread 我估计就对了。

同意

Jalapeno4u · 发表于 2008-6-2 05:33:00

Thank you, ibanking & liushihua!

yankee_sailor · 发表于 2008-6-4 04:28:00

以下是引用liushihua在2008-5-31 6:23:00的发言：
D不对吧，因为option cost = Z-spred - Option adjusted spread.如果D选项中nominal spread 改成Z-spread 我估计就对了。

But how the answer B came out? could you please explain that~~

Thank you~~

Jalapeno4u · 发表于 2008-6-4 07:20:00

以下是引用yankee_sailor在2008-6-4 4:28:00的发言：

But how the answer B came out? could you please explain that~~

Thank you~~

Only B COULD be right.

[求助] CFA L1 Fixed Income 问题请教

[求助] CFA L1 Fixed Income 问题请教

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