NO.PZ2016082402000047
问题如下:
From the time of issuance until the bond matures, which of the following bonds is most likely to exhibit negative convexity?
选项: A. A
puttable bond
B.
A callable bond
C.
An option-free bond selling at a discount
D.
A zero-coupon bond
解释:
ANSWER: B
A callable bond is short an option, which creates negative convexity for some levels of interest rates. Regular bonds, as in answers C and D, have positive convexity, as well as puttable bonds.
解析:
从债券发行日到债券到期,下面哪一个债券有可能会出现负的凸性?
选B,因为callable bond即可赎回债券,对于债券购买人而言,赋予了发行方赎回债券的权利,那么债券的价格高到某一个程度的时候就不上去了,债券价格与利率变动呈现negative convexity的性质,这个是callable bond的特性。
有公式或者图形看出这四个选项的正负相关性吗