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?