开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

西红柿面 · 2024年06月27日

我看的是这句话……

* 问题详情,请 查看题干

NO.PZ201712110200000306

问题如下:

John Smith, an investment adviser, meets with Lydia Carter to discuss her pending retirement and potential changes to her investment portfolio. 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 Carter to consider reducing her 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.

Smith and Carter review par, spot, and one-year forward rates (Exhibit 1) and four fixed-rate investment-grade bonds issued by Alpha Corporation which are being considered for investment (Exhibit 2).

Exhibit 1.₤Par, Spot, and One-Year Forward Rates (annual coupon payments)

Exhibit 2.₤Selected Fixed-Rate Bonds of Alpha Corporation

Note: All bonds in Exhibit 2 have remaining maturities of exactly three years

Carter tells Smith that the local news media have been reporting that housing starts, exports, and demand for consumer credit are all relatively strong, even in light of other poor macroeconomic indicators. Smith explains that the divergence in economic data leads him to believe that volatility in interest rates will increase. Smith also states that he recently read a report issued by Brown and Company forecasting that the yield curve could invert within the next six months.

Smith develops a binomial interest rate tree with a 15% interest rate volatility assumption to assess the value of Alpha Corporation’s bonds. Exhibit 3 presents the interest rate tree.

Exhibit 3.₤Binomial Interest Rate Tree for Alpha Corporation 15% Interest Rate Volatility


Carter asks Smith about the possibility of analyzing bonds that have lower credit ratings than the investment-grade Alpha bonds. Smith discusses four other corporate bonds with Carter. Exhibit 4 presents selected data on the four bonds.

Exhibit 4.₤Selected Information on Fixed-Rate Bonds for Beta, Gamma, Delta, and Rho Corporations


Notes: All bonds have remaining maturities of three years. OAS stands for option-adjusted spread.


If the Brown and Company forecast comes true, which of the following is most likely to occur? The value of the embedded option in:

选项:

A.

Bond 3 decreases.

B.

Bond 4 decreases.

C.

both Bond 3 and Bond 4 increases.

解释:

A is correct.

All else being equal, the value of a put option decreases as the yield curve moves from being upward sloping to flat to downward sloping (inverted). Alternatively, a call option’s value increases as the yield curve flattens and increases further if the yield curve inverts. Therefore, if the yield curve became inverted, the value of the embedded option in Bond 3 (putable) would decrease and the value of the embedded option in Bond 4 (Callable) would increase.

Smith explains that the divergence in economic data leads him to believe that volatility in interest rates will increase.

因为volatility上升,所以Option Value上升,选了C,leads him to believe我觉得就是他的预测呀

3 个答案

品职答疑小助手雍 · 2024年06月29日

额,看错问题了,题目问的是:If the Brown and Company forecast comes true, which of the following is most likely to occur?

所以要看的事Brown and company的预期是什么,他们的预期是issued by Brown and Company forecasting that the yield curve could invert within the next six months.


所以问的其实是利率曲线invert的影响,最常见的利率就是upward sloping,所以一般出现inverted yield curve是指downward sloping。Exhibit 1里面给了现在的一些利率是upward的,所以进一步验证他这个inverted是downward。

那么在利率曲线invert的情况下,call option 会随着利率变小而value 变大,因为利率小了公司有意愿重新call回再融资降低融资成本。当yield curve invert的时候,forward rate就变小了,暗示今后利率会变小,因此call option value 变大。而put option则刚好相反,利率下降的时候投资者看到债券价格升高,不愿意回售,put option value下降。

品职答疑小助手雍 · 2024年06月29日

putable bond指的是投资者有(在价格低的时候)有回售债券的权利,这是对投资者有利的,所以putable bond的价值等于裸bond的价值 加上 put option的价值。option value变大的时候putable bond的价值是增大的。

putable 和callable bond 是很重要的内容,如果没有明白他们的机制就没办法用到做题中去,可以去复习一下基础班这两个bond的内容。

西红柿面 · 2024年06月29日

是我表达的有问题吗??您讲的我都明白,但两次回答都没有回答我的问题。我就想知道为什么【此题不选B】?题干表明believe that volatility in interest rates will increase,B选项Callable Bonds会decrease,为什么不对,烦请正面回答,谢谢

品职答疑小助手雍 · 2024年06月27日

同学你好,call option价值上升了callable bond是价值下降的,因为callable bond是发行方可以在债券价格高的时候回购股票(购买方享受不到价格上升很高的收益)。所以callable bond的价值= 裸bond的价值 减去 call option的价值。

西红柿面 · 2024年06月28日

因为volatility上升,所以Option Value上升,Call Option价值减小,Put bond价值上升,所以应该选B呀

  • 3

    回答
  • 0

    关注
  • 153

    浏览
相关问题

NO.PZ201712110200000306 问题如下 If the Brown anCompany forecast comes true, whiof the following is most likely to occur? The value of the embeeoption in: A.Bon3 creases. B.Bon4 creases. C.both Bon3 anBon4 increases. A is correct. All else being equal, the value of a put option creases the yielcurve moves from being upwarsloping to flto wnwarsloping (inverte. Alternatively, a call option’s value increases the yielcurve flattens anincreases further if the yielcurve inverts. Therefore, if the yielcurve became inverte the value of the embeeoption in Bon3 (putable) woulcrease anthe value of the embeeoption in Bon4 (Callable) woulincrease. 这个题我的理解是由于长期利率比较稳定,所以是短期利率相对于长期利率上升才会导致曲线倒挂。短期利率上升,putable bon权概率增大。所以putable option价格上升,callable option价格下降。所以bon3 embeoption increase, bon4 embeoption crease.

2023-08-17 08:53 1 · 回答

NO.PZ201712110200000306 问题如下 If the Brown anCompany forecast comes true, whiof the following is most likely to occur? The value of the embeeoption in: A.Bon3 creases. B.Bon4 creases. C.both Bon3 anBon4 increases. A is correct. All else being equal, the value of a put option creases the yielcurve moves from being upwarsloping to flto wnwarsloping (inverte. Alternatively, a call option’s value increases the yielcurve flattens anincreases further if the yielcurve inverts. Therefore, if the yielcurve became inverte the value of the embeeoption in Bon3 (putable) woulcrease anthe value of the embeeoption in Bon4 (Callable) woulincrease. 如果利率升高,债券价格会低,这个时候put option会更值钱;如果利率降低,债券价格会上升,这个时候call option更值钱。但是利率反转是从高到低,这个是从表1中推导出来的是吧,就是因为表1中的利率是一直在上升,后来因为invert,才会下降。

2023-02-17 10:20 1 · 回答

NO.PZ201712110200000306 问题如下 If the Brown anCompany forecast comes true, whiof the following is most likely to occur? The value of the embeeoption in: A.Bon3 creases. B.Bon4 creases. C.both Bon3 anBon4 increases. A is correct. All else being equal, the value of a put option creases the yielcurve moves from being upwarsloping to flto wnwarsloping (inverte. Alternatively, a call option’s value increases the yielcurve flattens anincreases further if the yielcurve inverts. Therefore, if the yielcurve became inverte the value of the embeeoption in Bon3 (putable) woulcrease anthe value of the embeeoption in Bon4 (Callable) woulincrease. 老师,前面的段落中提到预测利率会下降,那现在invert curve,利率不是应该上升才对吗?

2022-05-02 09:41 3 · 回答

NO.PZ201712110200000306 利率升高,Put option更值钱更有价值,难道不对吗?

2022-02-05 23:31 2 · 回答