CFA一级知识点大剖析之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可以约等于Z-spread，可以用来判断变化的方向，但是准确的关系是上面的公式。
　　A选项，如果option对投资者有利的话，OAS是低于nominal spread的，比如callable bond，所以A是正确的。
　　B选项，MBS是包含一个embedded option的，因为MBS给发行者一个right of the underlying borrowers in a pool of loans to prepay principal above the scheduled principal payment，所以OAS和nominal spread之差不是零，C是错误的。
　　C选项，The longer the deferred call period, callable bond就越接近于不含权债券，那么OAS和nominal spread就越接近，D是正确的。
　　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，这句话错在，不是nominal spread，而是z-spread。nominal spread和z-spread其实不是一种spread
　　Solution：首先nominal spread和z-spread不是一种spread。nominal spread是z-spread一个近似和替代，大致相等，但也有差异，（当收益率曲线是陡峭的，本金偿还速度比较快的时候，他们的差距是大的）
　　另外Z-spread=OAS+OPTION COST，含有对issuer有利的期权的时候，（callable bond）OPTION COST大于0，则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：债券价格的变动是由2方面引起的，一个是时间引起的变动，一个是利率引起的变动。
　　本题要求的是时间变动后引起的价格变动的多少。解题思路是这样的：
　　pmt=8，n=7，一年前的 I/Y=10%，FV=100，求刚发行是bond的价格是90.26
　　接着pmt=8，n=6， I/Y=10%，FV=100，求PV， PV=91.28。所以91.28-90.26=1.03
　　那么如果题目是让你求利率变动引起的价格变动的多少就是这样求的：
　　pmt=8，n=7 ，  一年前的 I/Y=10%，FV=100，求刚发行是bond的价格是90.26
　　接着pmt=8，n=7 ， I/Y=9%，FV=100，求PV，因为只要求利率变化的不同，所以不牵扯到时间的变化，算出I/Y=9%的时候，PV=94.96。所以94.96-90.26=4.7