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Jingwen · 2022年04月08日

upside potential的意思

NO.PZ2018123101000104

问题如下:

Steele Ferguson, a senior analyst at Samuel, is reviewing three fixed-rate bonds issued by a local firm, Pro Star, Inc.

A fall in interest rates would most likely result in:

选项:

A.

a decrease in the effective duration of Bond #3.

B.

Bond #3 having more upside potential than Bond #2.

C.

a change in the effective convexity of Bond #3 from positive to negative.

解释:

A fall in interest rates results in a rise in bond values. For a callable bond such as Bond #2, the upside potential is capped because the issuer is more likely to call the bond. In contrast, the upside potential for a putable bond such as Bond #3 is uncapped. Thus, a fall in interest rates would result in a putable bond having more upside potential than an otherwise identical callable bond. Note that A is incorrect because the effective duration of a putable bond increases, not decreases, with a fall in interest rates—the bond is less likely to be put and thus behaves more like an option-free bond. C is also incorrect because the effective convexity of a putable bond is always positive. It is the effective convexity of a callable bond that will change from positive to negative if interest rates fall and the call option is near the money.

老师,这里B选项中的upside potential应该是怎么理解?是upside down的意思吗?就是从positive的,变成negative的可能性吗?

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发亮_品职助教 · 2022年04月08日

嗨,努力学习的PZer你好:


不是的,Upside potential就是债券价格上涨的空间。


我们知道,Callable bond的价格上涨空间有限。当利率下降时,所有债券的价格都会上涨,但是对于Callable bond来讲,利率下降时,债券的发行人很有可能提前赎回债券。这样的话,Callable bond的价格涨不上去,一旦债券的价格上涨超过了赎回价,那就会触发行权,于是Callable bond的价格上涨空间最多最多就是赎回价,他的价格不可能超过赎回价。

所以Callable bond的价格上涨空间有限,最多至行权价。

 

相比之下,对于option-free bond,putable bond,当利率下降时,债券的价格正常上升,并不存在债券被提前赎回的可能,于是他们的价格上涨空间就非常大。

 

于是callable bond upside potential < option-free bond, putable bond upside potential

那这样的话,我们看B选项,他说bond 3(Putable bond)比Bond 2(Callable bond)有更大的上涨空间,这个说法就完全正确。

 

就是从positive的,变成negative的可能性吗?

 

从Positive变成negative的,只有一个,就是Callable bond的Convexity。当利率下降时,Callable bond的Convexity会从正数变成负数。

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

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