问题如下：
Based on the information in Exhibit 1 and Exhibit 2, the value of the embedded option in Bond 4 is closest to:
选项：
A.nil.
B.0.1906.
C.0.3343.
解释：
C is correct.
Bond 4 is a callable bond. Value of an issuer call option = Value of straight bond – Value of callable bond. The value of the straight bond may be calculated using the spot rates or the one-year forward rates.
Value of an option-free (straight) bond with a 1.55% coupon using spot rates:
1.55/(1.0100)1 + 1.55/(1.012012)2 + 101.55/(1.012515)3 = 100.8789.
The value of a callable bond (at par) with no lockout period and a 1.55% coupon rate is 100.5446, the value of the call option = 100.8789 – 100.5446 = 0.3343.
100.5446怎么算的？
