开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

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。

  • 1

    回答
  • 1

    关注
  • 672

    浏览
相关问题

NO.PZ2018123101000104 问题如下 Steele Ferguson, a senior analyst Samuel, is reviewing threefixerate bon issuea locfirm, Pro Star, Inc.A fall in interest rates woulmost likely result in: A.a crease in the effective ration of Bon#3. B.Bon#3 having more upsi potentithBon#2. C.a change in the effective convexity of Bon#3 frompositive to negative. A fall in interestrates results in a rise in bonvalues. For a callable bonsuBon#2,the upsi potentiis cappebecause the issuer is more likely to call thebon In contrast, the upsi potentifor a putable bonsuBon#3 isuncappe Thus, a fall in interest rates woulresult in a putable bonhavingmore upsi potentithotherwise inticcallable bon Note thA isincorrebecause the effective ration of a putable bonincreases, notcreases, with a fall in interest rates—the bonis less likely to put anhus behaves more like option-free bon C is also incorrebecause theeffective convexity of a putable bonis always positive. It is the effectiveconvexity of a callable bonthwill change from positive to negative ifinterest rates fall anthe call option is nethe money. 老师,请问C怎么理解

2024-04-25 17:25 1 · 回答

NO.PZ2018123101000104问题如下Steele Ferguson, a senior analyst Samuel, is reviewing threefixerate bon issuea locfirm, Pro Star, Inc.A fall in interest rates woulmost likely result in: A.a crease in the effective ration of Bon#3. B.Bon#3 having more upsi potentithBon#2. C.a change in the effective convexity of Bon#3 frompositive to negative.A fall in interestrates results in a rise in bonvalues. For a callable bonsuBon#2,the upsi potentiis cappebecause the issuer is more likely to call thebon In contrast, the upsi potentifor a putable bonsuBon#3 isuncappe Thus, a fall in interest rates woulresult in a putable bonhavingmore upsi potentithotherwise inticcallable bon Note thA isincorrebecause the effective ration of a putable bonincreases, notcreases, with a fall in interest rates—the bonis less likely to put anhus behaves more like option-free bon C is also incorrebecause theeffective convexity of a putable bonis always positive. It is the effectiveconvexity of a callable bonthwill change from positive to negative ifinterest rates fall anthe call option is nethe money. 这是二级的考点吗?一级学过忘记了…老师请再讲解一下久期、修正久期和有效久期的概念以及讲解一下为什么a是错的?

2024-02-29 17:26 1 · 回答

NO.PZ2018123101000104 问题如下 Steele Ferguson, a senior analyst Samuel, is reviewing threefixerate bon issuea locfirm, Pro Star, Inc.A fall in interest rates woulmost likely result in: A.a crease in the effective ration of Bon#3. B.Bon#3 having more upsi potentithBon#2. C.a change in the effective convexity of Bon#3 frompositive to negative. A fall in interestrates results in a rise in bonvalues. For a callable bonsuBon#2,the upsi potentiis cappebecause the issuer is more likely to call thebon In contrast, the upsi potentifor a putable bonsuBon#3 isuncappe Thus, a fall in interest rates woulresult in a putable bonhavingmore upsi potentithotherwise inticcallable bon Note thA isincorrebecause the effective ration of a putable bonincreases, notcreases, with a fall in interest rates—the bonis less likely to put anhus behaves more like option-free bon C is also incorrebecause theeffective convexity of a putable bonis always positive. It is the effectiveconvexity of a callable bonthwill change from positive to negative ifinterest rates fall anthe call option is nethe money. 老师您好,关于A为什么是错的?effective ration 不是很理解,有点忘记ration是怎么计算了?

2023-04-14 17:57 2 · 回答

NO.PZ2018123101000104问题如下Steele Ferguson, a senior analyst Samuel, is reviewing threefixerate bon issuea locfirm, Pro Star, Inc.A fall in interest rates woulmost likely result in: A.a crease in the effective ration of Bon#3. B.Bon#3 having more upsi potentithBon#2. C.a change in the effective convexity of Bon#3 frompositive to negative. A fall in interestrates results in a rise in bonvalues. For a callable bonsuBon#2,the upsi potentiis cappebecause the issuer is more likely to call thebon In contrast, the upsi potentifor a putable bonsuBon#3 isuncappe Thus, a fall in interest rates woulresult in a putable bonhavingmore upsi potentithotherwise inticcallable bon Note thA isincorrebecause the effective ration of a putable bonincreases, notcreases, with a fall in interest rates—the bonis less likely to put anhus behaves more like option-free bon C is also incorrebecause theeffective convexity of a putable bonis always positive. It is the effectiveconvexity of a callable bonthwill change from positive to negative ifinterest rates fall anthe call option is nethe money. 老师,这里B中的upsi potential应该是怎么理解?是upsi wn的意思吗?就是从positive的,变成negative的可能性吗?

2022-04-08 10:12 1 · 回答

NO.PZ2018123101000104 请问怎么理解当interest rate下降时,callable bonconvexity从正变成负?

2021-11-09 11:18 1 · 回答