试题与答案

The zero volatility spread (Z-spread) is t

题型:单项选择题

题目:

The zero volatility spread (Z-spread) is the spread that:()

A. is added to the yield to maturity of a similar maturity Treasury bond to equal the yield to maturity of the risky bond.

B. is added to each spot rate on the Treasury yield curve that will cause the present value of the bond’s cash flows to equal its market price.

C. results when the cost of the call option in percent is subtracted from the option adjusted spread.

答案:

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