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wenxing · 2020年01月30日

问一道题:NO.PZ201602270200002104 第4小题 [ CFA II ]

* 问题详情,请 查看题干

问题如下图:可是callable bond 不是最后的答案不能超过100吗?

选项:

A.

B.

C.

解释:

1 个答案
已采纳答案

吴昊_品职助教 · 2020年02月04日

嗨,努力学习的PZer你好:


T=0时刻的100.873是可以取到的。含权债券一般会有一个行权的schedule,如本题表格中bond4“callable at par at the end of year1 and 2”,也就是说第一年末和第二年末,债券可以以面值赎回,只有在这两个时间点会行权,T=0不包括在内。没有发行人会在一发行callable bond的时候就立刻赎回债券。因此,T=0时刻债券价格是可以大于100的。


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虽然现在很辛苦,但努力过的感觉真的很好,加油!


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