An analyst is comparing two bonds and has collected the following data: Bond A: Nominal spread of 125 basis points, zero-volatility spread of 125 basis points, and option-adjusted spread of 65 basis points. Bond B: Nominal spread of 95 basis points, zero-volatility spread of 95 basis points, and option-adjusted spread of 95 basis points. Each bond is similar in all respects except that bond A is a mortgage pass-through security and bond B is a non-callable corporate bond. Based only on this information, which of the following statements is most accurate（）
A. The yield curve is perfectly flat.
B. Bond A is preferred over Bond B because its nominal spread is 30 basis points higher.
C. The option-adjusted spread measures the relative curvature of the yield curve and its effect on option cost.
参考答案：A
解析：
When the yield curve is perfectly flat, all spot interest rates are equal, and the spot rates will equal the YTM of the bond. The static spread and the YTM spread will diverge when the yield curve gains shape (upward-sweeping, humped, or downward-sweeping).