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JiangHan · 2023年04月26日

Callable bond 变成 no embedded bond

NO.PZ2022062761000014

问题如下:

A risk manager is evaluating the price sensitivity of an investment-grade callable bond using the firm’s valuation system. The table below presents information on the bond as well as on the embedded option. The current interest rate environment is flat at 4%.


The DV01 of a comparable bond with no embedded options and with the same maturity and coupon rate as the callable bond is closest to:

选项:

A.

0.00864

B.

0.01399

C.

0.01402

D.

0.02801

解释:

中文解析:

求DV01,如下图:


The call option reduces the bond price, therefore the price of the bond with no embedded options will be the sum of the callable bond price and the call option price.

Therefore, the price of the bond with no embedded options at a rate of 4.0% would be 97.8910 + 2.1090 = 100.00, the price at a rate of 3.95% would be 97.9430 + 2.1972 = 100.1402, and the price at a rate of 4.05% would be 99.8601.

DV01 is a measure of price sensitivity of a bond. To calculate the DV01, the following equation is used:


Where ∆P is the change in price and ∆y is the change in yield. Therefore,



Callable bond 变成 no embedded bond,没有了提前赎回的权利,债券价格不应该更低吗,为什么要callable bond的价格加上call option的价格啊

2 个答案
已采纳答案

品职答疑小助手雍 · 2023年04月27日

同学你好,callable bond指的是债券发行人有回购的权利,所以相当于发行人持有一个call option,这对投资人是不利的。

那么对于投资者而言,bond的价值就是bond减去call option。

JiangHan · 2023年04月27日

我也觉得是减去啊,可是答案写的是加上call option的价值啊

品职答疑小助手雍 · 2023年04月28日

callable bond的价值等于无期权的bond - call option。

那么无期权的bond价值就等于callable bond +call option。

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