NO.PZ2018123101000083
问题如下：
Domestic economic activity has been weakening recently, and Smith’s outlook is that equity market values will be lower during the next year. He would like to consider reducing his equity exposure in favor of adding more fixed-income securities to the portfolio.
Government yields have remained low for an extended period, and Smith suggests considering investment-grade corporate bonds to provide additional yield above government debt issues. In light of recent poor employment figures and two consecutive quarters of negative GDP growth, the consensus forecast among economists is that the central bank, at its next meeting this month, will take actions that will lead to lower interest rates.
Exhibit 1 shows par, spot, and one-year forward rates
Exhibit 2 shows four fixed-rate investment-grade bonds issued by Alpha Corporation which are being considered for investment.
Note: All bonds in Exhibit 2 have remaining maturities of exactly three years
Based on Exhibit 2, and assuming that the forecast for interest rates and Smith’s outlook for equity returns are validated, which bond’s option is most likely to be exercised?
选项：
A.Bond 2
B.Bond 3
C.Bond 4
解释：
C is correct.
考点：考察对含权债券的理解
解析：
Smith当前的预测是未来Equity的表现会更差 ， 当前Convertible bond已经是Out-of-the money的状态了 ， 如果Smith的预测成真 （ Validated ） ， 那么Convertible bond不会被行权 。
市场对利率的预测是央行会采取措施 ， 进一步降低利率 ， 如果降低利率的话 ， Putable bond不可能被行权 。
对于Callable bond （ 债券4 ） ， 没有行权锁定期 ， 预测未来利率下跌 ， 发行人非常有可能提前赎回债券 ， 然后以更低的市场利率融资 。 因此选择Bond 4.
能否解释一下什么情况下Convertible bond是Out-of-the money的状态?什么时候是in-the-money？会有at-the-money嘛？谢谢！
