NO.PZ2023040701000065
问题如下:
Pedu’s chief economist recently distributed an interest rate forecast stating that interest rate volatility is expected to decrease. Krishnan considers the impact of these expected changes on the values of the bonds in Exhibit 1.
If interest rate volatility changes in the way predicted in the chief economist's interest rate forecast, which bond described in Exhibit 1 will most likely experience the largest decrease in price?
选项:
A.Bond A
B.Bond B
C.Bond C
解释:
Correct Answer: B
The value of a straight (option-free) bond (Bond A) does not change when interest rate volatility changes. The value of the callable bond (Bond B) is equal to the value of the otherwise identical straight bond minus the value of the call option. The value of the putable bond (Bond C) is equal to the value of the otherwise identical straight bond plus the value of the put option. The values of the put and call options decrease when interest rate volatility decreases, so the value of the callable bond will increase and the value of the putable bond will decrease.
因为不确定,希望老师给解答一下。
波动下降,意味着Vcall和Vput下降,意味着Vcallable上升,Vputable下降,所以当波动下降时,作为putable bond的C会下跌。