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坏呼呼嘿嘿 · 2023年08月02日

这个题是什么意思?用callable 价格不是更低吗?

NO.PZ2023032703000061

问题如下:

An investment manager is considering decreasing portfolio duration versus a benchmark index given her expectations of an upward parallel shift in the yield curve. If she has a choice between a callable bond which is unlikely to be called, a putable bond which is likely to be put, or an option-free bond with otherwise comparable characteristics, the most profitable position would be to:

选项:

A.

own the callable bond.

B.

own the putable bond.

C.

own the option-free bond.

解释:

B is correct. The value of a bond with an embedded option is equal to the sum of the value of an option-free bond plus the value to the embedded option. With a putable bond, the embedded put option is owned by the bond investor, who can exercise the option if yields-to-maturity increase, as in this scenario. Under A, the embedded call option is owned by the bond issuer, who is more likely to exercise if yields-to-maturity decrease (that is, the bond investor is short the call option). As for C, the option-free bond underperforms the putable bond given the rise in value of the embedded put option.

这个题是什么意思?用callable 价格不是更低吗?

1 个答案

pzqa31 · 2023年08月02日

嗨,从没放弃的小努力你好:


是这样的,现在预期收益率曲线向上,要降低duration,与option free bond相比,putable与callable bond的到期时间短(会提前行权),所以duration小,所以,首先排除option free bond。

利率上升,对于callable bond来说,它与option free bond无差别,因为行权可能性下降;而对于putable bond来说,它更可能提前行权,所以,是有gain的。

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