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HG · 2020年03月14日

问一道题:NO.PZ2018123101000104

问题如下:

Steele Ferguson, a senior analyst at Samuel, is reviewing three fixed-rate bonds issued by a local firm, Pro Star, Inc.

A fall in interest rates would most likely result in:

选项:

A.

a decrease in the effective duration of Bond #3.

B.

Bond #3 having more upside potential than Bond #2.

C.

a change in the effective convexity of Bond #3 from positive to negative.

解释:

A fall in interest rates results in a rise in bond values. For a callable bond such as Bond #2, the upside potential is capped because the issuer is more likely to call the bond. In contrast, the upside potential for a putable bond such as Bond #3 is uncapped. Thus, a fall in interest rates would result in a putable bond having more upside potential than an otherwise identical callable bond. Note that A is incorrect because the effective duration of a putable bond increases, not decreases, with a fall in interest rates—the bond is less likely to be put and thus behaves more like an option-free bond. C is also incorrect because the effective convexity of a putable bond is always positive. It is the effective convexity of a callable bond that will change from positive to negative if interest rates fall and the call option is near the money.

老师这道题的具体思考的方法我知道,但是我有一个疑惑是,利率下降的区间,如果我们看前半段,那就是option-free bond(putable bond的前段的图)和call option的一个比较,但是看后半段就putable bond和option-free bond(callable bond后段的图)的比较,那么第二B项就是不对的了,考试的时候会这么出题吗?感觉出题和答题还需要一点默契啊。。。。。

1 个答案

WallE_品职答疑助手 · 2020年03月15日

同学你好,

B 选项是对的,你之所以觉得不对,是因为你还没弄懂什么是upside potential和downside potential。 Upside,downside指的都是价格, 利率下降的时候callable bond的价格是上不去的 这个时候对比的是你说的左边。利率上升时,puttable bond的价格是跌不下去的,比的是右边。

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