计算器的使用

问题如下：

A 10% coupon bond with annual payments, maturing in 3 years, is priced at 105. The bond is callable in one year at a call price of 104 or two years at a call price of 102. The bonds yield to worst most likely occurs when the bond is:

选项：

A.

Called in year 1

B.

Called in year2

C.

Held until maturity

解释：

Correct Answer: C

The yield to call if the bond is called in one year is 8.57%, because 105= (10+104) / 1.0857

The yield to call if the bond is called in two years is 8.15%, because 105= 10 / 1.0815+ (10+102) / 1.0815^2

The yield to maturity of the bond is 8.06%, because 105 = 10/1.0806 +10 / 1.0806^2 + (10+100) / 1.0806^3 .

The yield to worst is the lowest of these and occurs when the bond is held until maturity (i.e., it is the yield to maturity).