[求助]还有20天！债券OAS的问题！！ face, particular, following, offering, purchase

michigan09

Ned Jameson, CFA, is considering the purchase of a newly issued asset-backed security (ABS) for his fixed income portfolio. According to the broker/dealer offering the bond, the OAS for the issue is 75 Basis points (bps). Based on the OAS value, which of the following assumptions can Jameson make about this particular ABS?

A.      For a callable bond, the OAS is equivalent to the Z-spread because of the presence of an embedded option.

B.      The OAS represents the investor’s compensation for credit risk, liquidity risk, and option risk.

C.      The bond is trading at a yield that is more than 75 bps higher than a Treasury security with a comparable maturity.

D.     The implied cost of an option embedded in the security is always equal to th difference between the OAS and the Z-spread.

请问D为什么是错的？

胡老师

D中，difference意为两者的之差，但是你知道，对于可赎回债券和可买回债券，一个是之差，一个是之和，不一定是之差的