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皓月 · 2023年02月17日

这题我是这么理解的

  1. CFA II
  2. Fixed Income

* 问题详情，请 查看题干

NO.PZ201712110200000306

问题如下：

If the Brown and Company forecast comes true, which of the following is most likely to occur? The value of the embedded option in:

选项：

A.

Bond 3 decreases.

B.

Bond 4 decreases.

C.

both Bond 3 and Bond 4 increases.

解释：

A is correct.

All else being equal, the value of a put option decreases as the yield curve moves from being upward sloping to flat to downward sloping (inverted). Alternatively, a call option’s value increases as the yield curve flattens and increases further if the yield curve inverts. Therefore, if the yield curve became inverted, the value of the embedded option in Bond 3 (putable) would decrease and the value of the embedded option in Bond 4 (Callable) would increase.

如果利率升高，债券价格会低，这个时候put option会更值钱；如果利率降低，债券价格会上升，这个时候call option更值钱。

但是利率反转是从高到低，这个是从表1中推导出来的是吧，就是因为表1中的利率是一直在上升，后来因为invert，才会下降。

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吴昊_品职助教 · 2023年02月17日

嗨，爱思考的PZer你好：


Exhibit 1里面给了现在的一些利率是upward的，验证这个inverted是downward。另外，表格上面那段说的是央行将采取措施，这些措施会导致利率下降。换言之，这些措施还没采取，利率还没有下降。表格下面那段，Brown and Company预测，yield curve将在6个月反转，也就是由最初的向上倾斜变成6个月之后的向下倾斜。

你的理解没有什么问题。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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