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王一 · 2020年09月21日

问一道题:NO.PZ2016082402000044

问题如下:

With any other factors remaining unchanged, which of the following statements regarding bonds is not valid?

选项:

A.

The price of a callable bond increases when interest rates increase.

B.

Issuance of a callable bond is equivalent to a short position in a straight bond plus a long call option on the bond price.

C.

The put feature in a puttable bond lowers its yield compared with the yield of an equivalent straight bond.

D.

The price of an inverse floater decreases as interest rates increase.

解释:

ANSWER: A

Answer B is valid because a short position in a callable bond is the same as a short position in a straight bond plus a long position in a call (the issuer can call the bond back). Answer C is valid because a put is favorable for the investor, so it lowers the yield. Answer D is valid because an inverse floater has high duration.

能解释下 啥是逆浮动债券吗

1 个答案
已采纳答案

小刘_品职助教 · 2020年09月21日

同学你好,

逆向利率浮动证券(Inverse Floater)是一种息票利率coupon rate与市场利率成反方向变化的浮动利率证券。

比如:约定这个债券的每月的coupon等于9%减libor,这样的话libor上升,票息反而减少。

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