NO.PZ2016031001000080
问题如下：
A bond with 5 years remaining until maturity is currently trading for 101 per 100 of par value. The bond offers a 6% coupon rate with interest paid semiannually. The bond is first callable in 3 years, and is callable after that date on coupon dates according to the following schedule:
The bond’s yield-to-worst is closest to:
选项：
A.2.88%.
B.5.77%.
C.6.25%.
解释：
B is correct.
The yield-to-worst is 5.77%. The bond’s yield-to-worst is the lowest of the sequence of yields-to-call and the yield-to-maturity. From above, we have the following yield measures for this bond:
Yield-to-first-call: 6.25%
Yield-to-second-call: 5.94%
Yield-to-maturity: 5.77%
Thus, the yield-to-worst is 5.77%.
考点：YTW
解析：本题让计算 yield-to-worst，所以需要计算出每种情况下的收益再进行对比。
1、对于 yield-to-maturity:
N=10；PV= -101；PMT=3；FV=100 → CPT：I/Y =2.8835，但是要注意这是半年付息一次，所以年化后的 I/Y是5.767%
2、对于 yield-to-frist call:
N=6；PV= -101；PMT=3；FV=102 → CPT：I/Y =3.1229，所以年化后的 I/Y是6.246%
3、对于 yield-to-second call:
N=8；PV= -101；PMT=3；FV=101 → CPT：I/Y =2.97，所以年化后的 I/Y是5.94%
所以对比最差的是yield-to-maturity，即5.77%，故选项B正确。
是不是callable bond 的YTW一般都是YTM？
