题目说了call without any lockout period-有问必答-品职教育专注CFA ESG FRM CPA 考研等财经培训课程

NO.PZ2018123101000089问题如下Exhibit 1 shows the information about selectefixerate bon of Alpha CorporationNote: All bon in exhibit above have remaining maturities of exactly three yearsExhibit 2 presents the interest rate tree.Baseon Exhibit 1 anExhibit 2, the market priof Bon4 is closest to:A.100.4578.B.100.5123.C.100.8790.A is correct.考点考察对含权债券的估值解析对于含权债券，需要将最后一笔现金流逐渐向前一个节点折现，然后需要对比每一个节点能否实现该折现值，对于Callable bon因为embeecall option的存在，高于行权价的折现值将取不到，折现值高于行权价的节点，其债券价值调整为行权价；如下图在第二年中间节点与下面节点，现金流的折现值分别为100.2237与101.5642，但该值大于行权价，债券会被提前赎回，因此将该节点的债券价格调整到行权价100。本题没有说是欧式还是美式期权为什么按美式期权算？without lockout perio并不是美式期权的意思。

2024-03-13 10:54 2 · 回答

NO.PZ2018123101000089问题如下Exhibit 1 shows the information about selectefixerate bon of Alpha CorporationNote: All bon in exhibit above have remaining maturities of exactly three yearsExhibit 2 presents the interest rate tree.Baseon Exhibit 1 anExhibit 2, the market priof Bon4 is closest to:A.100.4578.B.100.5123.C.100.8790.A is correct.考点考察对含权债券的估值解析对于含权债券，需要将最后一笔现金流逐渐向前一个节点折现，然后需要对比每一个节点能否实现该折现值，对于Callable bon因为embeecall option的存在，高于行权价的折现值将取不到，折现值高于行权价的节点，其债券价值调整为行权价；如下图在第二年中间节点与下面节点，现金流的折现值分别为100.2237与101.5642，但该值大于行权价，债券会被提前赎回，因此将该节点的债券价格调整到行权价100。还是想问一下这句话call without any lockout perio的理解是随时都可以call回，这样的话对于价格的影响是啥呢？

2023-08-28 22:26 1 · 回答

NO.PZ2018123101000089 问题如下 Exhibit 1 shows the information about selectefixerate bon of Alpha CorporationNote: All bon in exhibit above have remaining maturities of exactly three yearsExhibit 2 presents the interest rate tree.Baseon Exhibit 1 anExhibit 2, the market priof Bon4 is closest to: A.100.4578. B.100.5123. C.100.8790. A is correct.考点考察对含权债券的估值解析对于含权债券，需要将最后一笔现金流逐渐向前一个节点折现，然后需要对比每一个节点能否实现该折现值，对于Callable bon因为embeecall option的存在，高于行权价的折现值将取不到，折现值高于行权价的节点，其债券价值调整为行权价；如下图在第二年中间节点与下面节点，现金流的折现值分别为100.2237与101.5642，但该值大于行权价，债券会被提前赎回，因此将该节点的债券价格调整到行权价100。根据题目的已知条件，如何判断每年的行权价是100元？

2023-06-13 18:45 1 · 回答

NO.PZ2018123101000089 问题如下 Exhibit 1 shows the information about selectefixerate bon of Alpha CorporationNote: All bon in exhibit above have remaining maturities of exactly three yearsExhibit 2 presents the interest rate tree.Baseon Exhibit 1 anExhibit 2, the market priof Bon4 is closest to: A.100.4578. B.100.5123. C.100.8790. A is correct.考点考察对含权债券的估值解析对于含权债券，需要将最后一笔现金流逐渐向前一个节点折现，然后需要对比每一个节点能否实现该折现值，对于Callable bon因为embeecall option的存在，高于行权价的折现值将取不到，折现值高于行权价的节点，其债券价值调整为行权价；如下图在第二年中间节点与下面节点，现金流的折现值分别为100.2237与101.5642，但该值大于行权价，债券会被提前赎回，因此将该节点的债券价格调整到行权价100。这道题和原版书课后里的John smith- Q7问题一摸一样，但是给的答案不同。题库里也有John smith 那题，问的问题和给的条件都一摸一样。在原版书里这道题答案是100. =》因为callable在没有without any lockup perio时候不可能价格超过100.请问为什么这里 market pri却是直接折现出来没有cappe（100.45）？

2023-03-17 16:28 1 · 回答

NO.PZ2018123101000089 问题如下 Exhibit 1 shows the information about selectefixerate bon of Alpha CorporationNote: All bon in exhibit above have remaining maturities of exactly three yearsExhibit 2 presents the interest rate tree.Baseon Exhibit 1 anExhibit 2, the market priof Bon4 is closest to: A.100.4578. B.100.5123. C.100.8790. A is correct.考点考察对含权债券的估值解析对于含权债券，需要将最后一笔现金流逐渐向前一个节点折现，然后需要对比每一个节点能否实现该折现值，对于Callable bon因为embeecall option的存在，高于行权价的折现值将取不到，折现值高于行权价的节点，其债券价值调整为行权价；如下图在第二年中间节点与下面节点，现金流的折现值分别为100.2237与101.5642，但该值大于行权价，债券会被提前赎回，因此将该节点的债券价格调整到行权价100。老师，ye1 下方的节点答案里算的是100。我是{（100+100）/2+1.55}/1.01943=99.6145，这个是我算错了嘛

2022-10-02 15:57 1 · 回答

题目说了call without any lockout period

1 个答案

1

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300

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