Ｒeading 23的練習題第３題是有關Risk premium approach,

其中10-yr mortgage-backed security (MBS) (callable; government-backed

collateral)的expected retrun計算並不包括10-yr call risk spread,

是不是因為它附註a.This spread implicitly includes....as well as

compensation for prepayment risk. 這個prepayment risk已經隱含了

call spread,所以無需再加上另外給的10-yr call spread. 但若是沒有附註a,

計算其expected return時則必需要再把10-yr call spread加進去.

請問也在準備三級考試的人,不知我的理由是否正確呢?

謝謝. 

[em06][em06]