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- 2011-7-2
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- 2014-10-26
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I think we're talking about two different things here:
1. The actual adjustment made to the z spread in order to take into account the effect of options.
2. The spread that remains after the adjustment has been made.
In regard to #2, I would think it would still reflect default risk otherwise it would be equivalent to the risk free rate.
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发表于 2011-7-11 19:12
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