NO.PZ2023091701000029
问题如下：
A risk manager is evaluating the price sensitivity of an investment-grade callable bond using the firm’s valuation system. The table below presents information on the bond as well as on the embedded option. The current interest rate environment is flat at 5%.
The DV01 of a comparable bond with no embedded options having the same maturity and coupon rate is closest to:
选项：
A.0.0185 B.0.2706 C.0.2891 D.0.3077解释：
The call option reduces the bond price, therefore the bond with no embedded options will be the sum of the callable bond price and the call option price.
Therefore the price of the bond with no embedded options at a rate of 4.98% would be 104.1657 and the price at a rate of 5.02% would be 102.9351.
DV01 is a measure of
price sensitivity of a bond. To calculate the DV01, the following equation is
used:
Where ΔP is the change in price and Δy is the change in yield. Therefore
请问，如果这道题是putable bond和put option, straight bond 的价格应当如何计算？
仍然是putable bond + put option 吗？
