NO.PZ2021120102000004
问题如下：
An investment manager is considering decreasing portfolio durationversus a benchmark index given her expectations of an upward parallel shift inthe yield curve.
If she has a choice between a callable, putable, oroption-free bond with otherwise comparable characteristics, the most profitableposition would be to:
选项：
A.
ownthe callable bond.
B.
own the putable bond.
C.
own the option-free bond.
解释：
B is correct. The value of a bond with anembedded option is equal to the sum ofthe value of an option-free bond plus the value to the embedded option.
With a putable bond, the embedded put option isowned by the bond investor, who can exercise theoption if yields-to-maturity increase, as in this scenario.
Under A, the embedded call option is owned bythe bond issuer, who is more likely to exercise ifyields-to-maturity decrease (that is, the bond investor is short the calloption).
As for C, the option-free bond underperformsthe putable bond given the rise in value of theembedded put option.
由于基金经理预期收益率曲线将上行，所以，应该选择putable bond，它在降低久期的同时，对投资者有利。 若预期收益率曲线将下行，直接选择optiob-free bond，那什么时候投资callable bond有利？
