题目
An option-adjusted spread (OAS) on a callable bond is the Z-spread:
选项
A.over the benchmark spot curve.
B.minus the standard swap rate in that currency of the same tenor.
C.minus the value of the embedded call option expressed in basis points per year.
答案
C
解析
： C is correct. The option value in basis points per year is subtracted from the Z-spread to calculate the option-adjusted spread (OAS). The Z-spread is the constant yield spread over the benchmark spot curve. The I-spread is the yield spread of a specific bond over the standard swap rate in that currency of the same tenor. ： C是正确的。每年以基点为单位的期权价值从Z价差中减去，以计算期权调整价差（OAS）。Z利差是基准即期曲线上的恒定收益率利差。I-利差是指某一特定债券在同一期限货币的标准互换利率上的收益率利差。