单选题 Which of the following statements regarding the option adjusted spread (OAS) is least accurate? The option adjusted spread: A. is used to adjust for the cost of the embedded option. B. is the spread that accounts for non-option characteristics like credit risk, liquidity risk, and interest rate risk. C. for a putable bond is the Z-spread minus the cost of the option.
【正确答案】 C
【答案解析】Since the buyer of a putable bond must pay extra for the put option, the OAS spread for a putable bond is the Z-spread plus the put option cost in percent.