标题: fixed income investment(z spread) [打印本页] 作者: SeanWest 时间: 2013-4-10 18:45 标题: fixed income investment(z spread)
study notes book5 page 160
Q10. bond A has an embedded option , a nomial yield spred to treasury of 1.6%, a zerovolatility spread of 1.4%? and an OAS of 1.2%.
what embedded option for Bond A?
why the answer gives PUT? i think if z spread>OAS, the option should be call.
thanks
