23-58 A contract whose payoff increases as a yield spread increases above some stated exercise spread is a

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A credit spread call option is a contract that pays off if the yield spread between two fixed income securities widens beyond a specific exercise spread. Therefore, if the yield spread increases above the exercise spread, the payoff increases as well. None of the other options (put option, call option, digital default option, or futures option) have this specific payoff structure based on the yield spread.

23-58 a Contract Whose Payoff Increases as a Yield Spread