| Straight corporate bond | Callable corporate bonds | Home equity loan ABS | |
| embedded option? | No | Yes | Yes |
| Cash flows are interest path dependent? | No | No | Yes |
| most appropriate spread measure | Z-spread | OAS from binominal model | OAS from Monte Carlo model |
Tuesday, January 11, 2011
OAS and Z-spread
Labels:
CFA Level 2 (June 2011),
O
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