Bond A has an embedded option, a nominal yield spread to Tresuries of 1.6%,
a Z-spread of 1.4%, and an OAS of 1.2%. Bond B is identical to Bond A
except that it does not have the embedded option, has a nominal yield
spread to Treasuries of 1.4%, a Z-spread of 1.3%, an OAS of 1.3%. The most
likely option embedded in Bond A, and the bond that is the better value,
are:
A. Put, Bond A
B. Put, Bond B
C. Call, Bond A
D. Call, Bond B
答案是B，它說Since the OAS is less than the Z-spread for Bond A, the effect
of the embedded option is to decrease the required yield, so it must be a
put option.
不對吧，Option cost = Z-spread - OAS，
Callable Bond: Option cost >0 , Z-spread > OAS
Puttable Bond: Option cost <0 , Z-spread < OAS
這樣才對吧? 所以答案應該是D
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