试题与答案

An analyst is comparing two bonds and has

题型:单项选择题

题目:

An analyst is comparing two bonds and has collected the following data: Bond A: Nominal spread of 125 basis points, zero-volatility spread of 125 basis points, and option-adjusted spread of 65 basis points. Bond B: Nominal spread of 95 basis points, zero-volatility spread of 95 basis points, and option-adjusted spread of 95 basis points. Each bond is similar in all respects except that bond A is a mortgage pass-through security and bond B is a non-callable corporate bond. Based only on this information, which of the following statements is most accurate()

A. The yield curve is perfectly flat.

B. Bond A is preferred over Bond B because its nominal spread is 30 basis points higher.

C. The option-adjusted spread measures the relative curvature of the yield curve and its effect on option cost.

答案:

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参考答案:对

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