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大瓶子 · 2023年09月07日

可否解释一下选项A和问题?

NO.PZ2023010301000041

问题如下:

An inverse floater will most likely have:

选项:

A.

a maximum coupon rate.

B.

a face value that changes as the reference rate changes.

C.

a coupon rate that changes by more than the change in the reference rate.

解释:

Correct Answer: A

The general formula for the coupon rate of an inverse floater is C – (L × R), where C is the maximum coupon rate if the reference rate (R) is equal to zero and L is the coupon leverage, which is greater than zero.

B is incorrect. The face value of an inverse floater does not change as the reference rate changes; rather, the coupon rate changes.

C is incorrect. Inverse floaters can have leverage less than 1 (deleveraged inverse floaters), so the coupon rate changes by less than the change in the reference rate; leverage greater than 1 (leveraged inverse floaters), so the coupon rate changes by more than the change in the reference rate; or leverage equal to 1, so the coupon rate changes by the same amount as the change in the reference rate.

没看明白,选项和问题。

1 个答案

吴昊_品职助教 · 2023年09月07日

嗨,爱思考的PZer你好:


本题考察反向浮动债券。

拿老师上课讲的例子:如果coupon rate=7%-MRR,当MRR为零时,此时的coupon rate有最大值,最大值就为7%。所以A是正确的。

B选项:面值是不会跟着基准利率的变化而变化的。

C选项:deleveraged反向浮动的leverage是大于0并且小于1的,乘以一个小于1的数,就是一个缩小的影响。也就是说coupon rate的变动幅度小于reference rate的变动幅度。所以,不能说coupon rate的变化幅度一定大于reference rate的变化幅度。

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