问题如下图:
选项:
A.
B.
C.
解释:
利率变化对Convertible bond 有什么影响么?
从Convertible bond的 bond属性看利率变化的影响,应该和straight bond的一样吧?
NO.PZ2018123101000085 问题如下 In light of recent poor employment figures antwo consecutive quarters of negative G growth, the consensus forecast among economists is ththe centrbank, its next meeting this month, will take actions thwill leto lower interest rates. Exhibit below shows four fixerate investment-gra bon issueAlpha Corporation whiare being consirefor investment. Note: All bon in Exhibit 2 have remaining maturities of exactly three years Assuming the forecast for interest rates is proven accurate, whibonin Exhibit above will likely experienthe smallest priincrease? Bon1 Bon3 Bon4 C is correct.考点考察对含权债券的理解解析 经济预测是利率下降 。 在利率下降的环境中 , 任何债券的价值都应该上升 , 只不过当利率下降时 , 不同含权债券的表现不同 。当利率下降时 , 债券4 ( Callable ) 中的Embeecall option的价值会增加 , 由于该期权为发行人持有的期权 , 因此Embeeoption价值的上升会对Callable bon价格产生相反的影响 , 会抵消掉部分利率上升带来的债券价格上涨 。 因此Callable bon利率下降时 , 上升的幅度最小。 老师我想问下,这题中利率上升,所以是不是可以理解为bon和bon 最后价值是相等的,value of put option因为利率上升会下降。value of putable bonvlaue of stright bon这样理解对么,谢谢。
NO.PZ2018123101000085 问题如下 In light of recent poor employment figures antwo consecutive quarters of negative G growth, the consensus forecast among economists is ththe centrbank, its next meeting this month, will take actions thwill leto lower interest rates. Exhibit below shows four fixerate investment-gra bon issueAlpha Corporation whiare being consirefor investment. Note: All bon in Exhibit 2 have remaining maturities of exactly three years Assuming the forecast for interest rates is proven accurate, whibonin Exhibit above will likely experienthe smallest priincrease? Bon1 Bon3 Bon4 C is correct.考点考察对含权债券的理解解析 经济预测是利率下降 。 在利率下降的环境中 , 任何债券的价值都应该上升 , 只不过当利率下降时 , 不同含权债券的表现不同 。当利率下降时 , 债券4 ( Callable ) 中的Embeecall option的价值会增加 , 由于该期权为发行人持有的期权 , 因此Embeeoption价值的上升会对Callable bon价格产生相反的影响 , 会抵消掉部分利率上升带来的债券价格上涨 。 因此Callable bon利率下降时 , 上升的幅度最小。 题目中是OTM,我理解跟本次利率变动没有太大的关系,但是如果OTM就不会行权,是不是题目想表达这个意思?如果ITM,大家都行权了,这个CB也就不存在了?如果我理解的不对,麻烦老师一下OTM或者ITM在利率波动的情况下会不会对CB的价格有不同的影响?
NO.PZ2018123101000085 问题如下 In light of recent poor employment figures antwo consecutive quarters of negative G growth, the consensus forecast among economists is ththe centrbank, its next meeting this month, will take actions thwill leto lower interest rates. Exhibit below shows four fixerate investment-gra bon issueAlpha Corporation whiare being consirefor investment. Note: All bon in Exhibit 2 have remaining maturities of exactly three years Assuming the forecast for interest rates is proven accurate, whibonin Exhibit above will likely experienthe smallest priincrease? Bon1 Bon3 Bon4 C is correct.考点考察对含权债券的理解解析 经济预测是利率下降 。 在利率下降的环境中 , 任何债券的价值都应该上升 , 只不过当利率下降时 , 不同含权债券的表现不同 。当利率下降时 , 债券4 ( Callable ) 中的Embeecall option的价值会增加 , 由于该期权为发行人持有的期权 , 因此Embeeoption价值的上升会对Callable bon价格产生相反的影响 , 会抵消掉部分利率上升带来的债券价格上涨 。 因此Callable bon利率下降时 , 上升的幅度最小。 老师您好,请问下这个利率下降对bon3 影响是?
NO.PZ2018123101000085 问题如下 In light of recent poor employment figures antwo consecutive quarters of negative G growth, the consensus forecast among economists is ththe centrbank, its next meeting this month, will take actions thwill leto lower interest rates. Exhibit below shows four fixerate investment-gra bon issueAlpha Corporation whiare being consirefor investment. Note: All bon in Exhibit 2 have remaining maturities of exactly three years Assuming the forecast for interest rates is proven accurate, whibonin Exhibit above will likely experienthe smallest priincrease? Bon1 Bon3 Bon4 C is correct.考点考察对含权债券的理解解析 经济预测是利率下降 。 在利率下降的环境中 , 任何债券的价值都应该上升 , 只不过当利率下降时 , 不同含权债券的表现不同 。当利率下降时 , 债券4 ( Callable ) 中的Embeecall option的价值会增加 , 由于该期权为发行人持有的期权 , 因此Embeeoption价值的上升会对Callable bon价格产生相反的影响 , 会抵消掉部分利率上升带来的债券价格上涨 。 因此Callable bon利率下降时 , 上升的幅度最小。 如果利率上升,对putable bon价格的影响呢
NO.PZ2018123101000085 可以用ration的概念去解答吗 因为利率下行,所以call使用的概率增大,即其的ration会减小,而最小的r对利率变动更不敏感,所以是callable bon价格变化最小