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面白い · 2020年03月30日

问一道题:NO.PZ2016031001000120

问题如下:

Assuming no change in the credit risk of a bond, the presence of an embedded put option:

选项:

A.

reduces the effective duration of the bond.

B.

increases the effective duration of the bond.

C.

does not change the effective duration of the bond.

解释:

A is correct.

The presence of an embedded put option reduces the effective duration of the bond, especially when rates are rising. If interest rates are low compared with the coupon rate, the value of the put option is low and the impact of the change in the benchmark yield on the bond’s price is very similar to the impact on the price of a non-putable bond. But when benchmark interest rates rise, the put option becomes more valuable to the investor. The ability to sell the bond at par value limits the price depreciation as rates rise. The presence of an embedded put option reduces the sensitivity of the bond price to changes in the benchmark yield, assuming no change in credit risk.

是否可以这样理解:含权的存在使得债券价格波动变小,所以相比不含权债券的ED更小?

1 个答案
已采纳答案

吴昊_品职助教 · 2020年03月30日

你的理解角度有误。你可以从两个角度来理解。如果从平均还款期的角度来说,由于权利的存在,那么债券现金流更容易提前结束掉,平均还款期更短,麦考利久期更小,有效久期也更小。

如果从债券价格对于利率变化的敏感程度来考虑,对于putable bond来说,当利率上升的时候,价格下降有一个下限,债券价格下降幅度不如不含权债券,因此债券价格对于利率变化没有那么敏感。所以有效久期更小。

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