The OAS is added to the tree after the adjustment for the embedded option (i.e., the node values are adjusted according to the call/put rule). Hence the OAS is calculated after the option risk has been removed. OAS value OAS = Z-spread - option cost Options that favor the issuer (...
Fixed Position LayoutDirect Labor CostFast Food RestaurantBalanced LineCost Per Unit 此学习集中的词语(89) The objective of layout strategy is to develop an effective and efficient layout that will meet the firm's competitive requirements. True Which of the following is NOT one of McDonald's "se...
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- Z-spread includes the cost of the embedded option, which changes in volatility OAS - The spread on a bond with an embedded option after the embedded option cost has been removed = Z-spread - option cost - does not measure option risk, only liquidity and credit risk ...
A coupon bond's Macaulay duration is most accurately described as the holding period over which:A.The value of cash flows received equals the cost of buying the bondB.Changes in reinvestment income offset changes in the bond's priceC.The bond earns a risk-free return if hedged by shorting...
It is the same as buying a note and selling a CDS.2 : Capital protected instruments offers guarantee of minimum value at maturity and potential upside gain. With a guarantee certificate that can be designed with a zero-coupon bond and a 1 year call option and is equal to initial cost of...