NO.PZ201712110200000304
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.
老师好，
我想和老师明确下，题目中的forward rate:1%, 1.4028%和1.3522%分别是f(0,1),f(1,1)和f(2,1)还是f(1,1),f(2,1)和f(3,1)呢？
我当时看题干的第一反应是f(1,1),f(2,1)和f(3,1)，但我看答案解析的时候觉得是f(0,1),f(1,1)和f(2,1)，因为这样才能和C,C,C+Par对应起来。
麻烦老师帮忙解释下，谢谢！
