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Elliott Ho · 2017年03月17日

问一道题：NO.PZ2016031001000080 [ CFA I ]

  1. CFA I

问题如下图：

    

选项：

A.

B.

C.

弱弱的问下，YTW实际是做什么用的？并且为什么在callable bond中选最小的要求回报率？

谢谢！

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1 个答案

maggie_品职助教 · 2017年03月17日

YTW可以给投资者提供对于所投资债券所能获得的最保守的收益率水平。Yield to worst是在给定call provision的情况下你算出所有可能的收益率中最低的一个。


建议你再去听一下这部分的视频。

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NO.PZ2016031001000080 问题如下 A bonwith 5 years remaining until maturity is currently trang for 101 per 100 of pvalue. The bonoffers a 6% coupon rate with interest paisemiannually. The bonis first callable in 3 years, anis callable after thte on coupon tes accorng to the following schele: The bons yielto-worst is closest to: A.2.88%. B.5.77%. C.6.25%. B is correct.The yielto-worst is 5.77%. The bons yielto-worst is the lowest of the sequenof yiel-to-call anthe yielto-maturity. From above, we have the following yielmeasures for this bonYielto-first-call: 6.25%Yielto-seconcall: 5.94%Yielto-maturity: 5.77%Thus, the yielto-worst is 5.77%.考点YTW解析本题让计算 yielto-worst，所以需要计算出每种情况下的收益再进行对比。1、对于 yielto-maturity:N=10；PV= -101；PMT=3；FV=100 → CPTI/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 yielto-frist call:N=6；PV= -101；PMT=3；FV=102 → CPTI/Y =3.1229，所以年化后的 I/Y是6.246%3、对于 yielto-seconcall:N=8；PV= -101；PMT=3；FV=101 → CPTI/Y =2.97，所以年化后的 I/Y是5.94%所以对比最差的是yielto-maturity，即5.77%，故B正确。 call price对应的是FV，101是价格，对应的是PV。为啥不是call price对应的是PV，到期时的100是FV这样算呢？N也有所不同

2024-07-04 12:44 1 · 回答

NO.PZ2016031001000080 问题如下 A bonwith 5 years remaining until maturity is currently trang for 101 per 100 of pvalue. The bonoffers a 6% coupon rate with interest paisemiannually. The bonis first callable in 3 years, anis callable after thte on coupon tes accorng to the following schele: The bons yielto-worst is closest to: A.2.88%. B.5.77%. C.6.25%. B is correct.The yielto-worst is 5.77%. The bons yielto-worst is the lowest of the sequenof yiel-to-call anthe yielto-maturity. From above, we have the following yielmeasures for this bonYielto-first-call: 6.25%Yielto-seconcall: 5.94%Yielto-maturity: 5.77%Thus, the yielto-worst is 5.77%.考点YTW解析本题让计算 yielto-worst，所以需要计算出每种情况下的收益再进行对比。1、对于 yielto-maturity:N=10；PV= -101；PMT=3；FV=100 → CPTI/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 yielto-frist call:N=6；PV= -101；PMT=3；FV=102 → CPTI/Y =3.1229，所以年化后的 I/Y是6.246%3、对于 yielto-seconcall:N=8；PV= -101；PMT=3；FV=101 → CPTI/Y =2.97，所以年化后的 I/Y是5.94%所以对比最差的是yielto-maturity，即5.77%，故B正确。 是不是callable bon的YTW一般都是YTM？

2024-05-26 16:54 1 · 回答

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2023-08-26 08:25 1 · 回答

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2022-10-02 21:43 1 · 回答

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2020-07-03 15:23 1 · 回答