A Bond has an embedded option, nominal yield spread to Treasuries of 1.6%, a zero volatility spread of 1.4%, and an option-adjusted spread of 1.2%. What kind of an option is this. Ans is Put option. But isnt OAS > Z-spread for Put options?
agree with you. imo, This should a call-embedded one.
This questions is from Scheweser. Thye have posted an Errata for this. Correct answer is call option.