NO.PZ2016031002000049
问题如下：
Other things equal, why would the duration of callable bond be less than that of other option-free bond？
选项：
A.As YTM increases, the value of the call option increases.
B.As YTM decreases, the value of the call option increases.
C.As bond price increases, the value of the call option decreases.
解释：
B is correct.
value of callable bond=straight bond value−value of call option
When the YTM of a callable bond falls, both the bond price and the call option value increase, therefore the increment in price is less than for an option-free bond.
考点：含权债券duration
解析：当利率下降，对于不含权债券，价格正常上涨。而callable bond很有可能会被债券发行人提前以call price赎回，此时duration小于不含权债券。callable bond=straight bond-call option，由于call option的行权概率增加，所以call option的价值增加。故选项B正确。
为什么call option的行权概率增加，call option的价值就会增加
