NO.PZ201602270200002005
问题如下:
5. The value of Bond #3 is closest to:
选项:
A.102.103% of par.
B.103.688% of par.
C.103.744% of par.
解释:
C is correct.
:
S= Interest Rate Scenario
C=Cash Flow (% of par)
R=One-year Interest rate (%)
V= Value of the Callable Bond’s Future Cash Flows (% of par)
老师讲义里面说的是Value of callable高于strike price的价格只能取strike price
我理解这里的strike price是100是么?然后Putable 里面的strike price 也是100. 会有两个strike price不一样的情况么?不是很理解这后面的逻辑,麻烦老师梳理一下,谢谢!