CFA Practice Question

There are 252 practice questions for this study session.

CFA Practice Question

True or False? The OAS can be negative if the assumed volatility of interest rates is high enough.
Correct Answer: True

User Contributed Comments 2

User Comment
danlan2 OAS=Z-spread-option cost, so when the volatility of interest rates is very high, option cost is very high and OAS can be negative.
bodduna High Volatility -> Low OAS

Low Volatility -> High OAS
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