NO.PZ2023040701000073
问题如下：
Hsu then selects the four bonds issued by RW, Inc. given in Exhibit 2. These bonds all have a maturity of three years and the same credit rating. Bonds #4 and #5 are identical to Bond #3, an option-free bond, except that they each include an embedded option.
In Exhibit 2, the bond whose effective duration will lengthen if interest rates rise is:
选项：
A.Bond #3
Bond #4
Bond #5
解释：
Correct Answer: B
Effective duration indicates the sensitivity of a bond’s price to a 100 bps parallel shift of the benchmark yield curve assuming no change in the bond’s credit spread. The effective duration of an option-free bond such as Bond #3 changes very little in response to interest rate movements. As interest rates rise, a call option moves out of the money, which increases the value of the callable bond and lengthens its effective duration. In contrast, as interest rates rise, a put option moves into the money, which limits the price depreciation of the putable bond and shortens its effective duration. Thus, the bond whose effective duration will lengthen if interest rates rise is the callable bond, i.e., Bond #4.
答案中的这句话：As interest rates rise, a call option moves out of the money, which increases the value of the callable bond and lengthens its effective duration.
这句话解释有问题吧？利率上升，不含权债券本身价格下跌，且call option也变得out of money，也贬值了，进一步导致callable bond贬值，才导致callable bond的有效久期延长。应该是这样吧？
