问题
单项选择题
An analyst does research about the Z-spread and nominal spread. Assume the Treasury spot-rate yield curve is upward slopping, compared to the nominal yield spread between a Treasury bond and an option-free corporate bond of similar maturity, Z-spread will be:
A. less than the nominal spread.
B. equal to the nominal spread.
C. greater than the nominal spread.
答案
参考答案：C
解析： 在收益率曲线向上弯曲时，零波动溢价(Z-spread)将大于名义溢价(nominal spread)。同理，当收益率曲线向下弯曲时，零波动溢价将小于名义溢价。若收益率曲线为水平，零波动溢价将等于名义溢价。