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徒慕君 · 2023年08月17日

Full price需要小于100吗

  1. CFA II
  2. Fixed Income

* 问题详情，请 查看题干

NO.PZ201602270200002104

问题如下：

4. The effective duration of Bond #4 is closest to:

选项：

A.

0.76.

B.

1.88.

C.

3.77.

解释：

B is correct.

The effective duration of Bond #4 can be calculated using Equation 3 from the reading, where Δ Curve is 20 bps, PV– is 101.238, and PV+ is 100.478. PV0PV_0, the current full price of the bond (i.e., with no shift), is not given but it can be calculated using Exhibit 3 as follows:

S= Interest Rate Scenario

C=Cash Flow (% of par)

R=One-year Interest rate (%)

V= Value of the Callable Bond’s Future Cash Flows (% of par)

Thus, the effective duration of Bond #4 is:

Effective duration = frac101.238−100.4782×(0.0020)×(100.873)=1.88frac{101.238-100.478}{2\times(0.0020)\times(100.873)}=1.88

用二叉树计算callable bond，full price结果是大于100 的。此时full price不用遵循callable at par?

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徒慕君 · 2023年08月17日

我的意思是为啥V=100.873 超过100，为啥取得到？

1 个答案
已采纳答案

pzqa31 · 2023年08月17日

嗨，爱思考的PZer你好：


同学，这个callable bond是在第一年或者第二年可以行权，这个估值是在t=0时间的。

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NO.PZ201602270200002104问题如下4. The effective ration of Bon#4 is closest to:A.0.76.B.1.88.C.3.77.B is correct.The effective ration of Bon#4 ccalculateusing Equation 3 from the reang, where Δ Curve is 20 bps, PV– is 101.238, anPV+ is 100.478. PV0PV_0PV0​, the current full priof the bon(i.e., with no shift), is not given but it ccalculateusing Exhibit 3 follows: S= Interest Rate ScenarioC=Cash Flow (% of par)R=One-yeInterest rate (%)V= Value of the Callable Bons Future Cash Flows (% of par)Thus, the effective ration of Bon#4 is:Effective ration = frac101.238−100.4782×(0.0020)×(100.873)=1.88frac{101.238-100.478}{2\times(0.0020)\times(100.873)}=1.88frac101.238−100.4782×(0.0020)×(100.873)=1.88题目中二叉树，是不是里面所有含权债券都适用这个二叉树

2023-03-25 14:17 1 · 回答

NO.PZ201602270200002104 问题如下 4. The effective ration of Bon#4 is closest to: A.0.76. B.1.88. C.3.77. B is correct.The effective ration of Bon#4 ccalculateusing Equation 3 from the reang, where Δ Curve is 20 bps, PV– is 101.238, anPV+ is 100.478. PV0PV_0PV0​, the current full priof the bon(i.e., with no shift), is not given but it ccalculateusing Exhibit 3 follows: S= Interest Rate ScenarioC=Cash Flow (% of par)R=One-yeInterest rate (%)V= Value of the Callable Bons Future Cash Flows (% of par)Thus, the effective ration of Bon#4 is:Effective ration = frac101.238−100.4782×(0.0020)×(100.873)=1.88frac{101.238-100.478}{2\times(0.0020)\times(100.873)}=1.88frac101.238−100.4782×(0.0020)×(100.873)=1.88 1、提供考点相关内容并解析，怎么和我这边的公式好像不太对的上2、什么是frac，麻烦负责地解析答案

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NO.PZ201602270200002104

2022-01-20 17:23 1 · 回答

可是callable bon不是最后的答案不能超过100吗？

2020-01-30 20:34 1 · 回答