开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

三级冲冲 · 2022年04月25日

为什么曲线向上,价格下跌,要降低久期?

NO.PZ2021120102000004

问题如下:

An investment manager is considering decreasing portfolio duration versus a benchmark index given her expectations of an upward parallel shift in the yield curve.

If she has a choice between a callable, putable, or option-free bond with otherwise comparable characteristics, the most profitable position would be to:

选项:

A.

own the callable bond.

B.

own the putable bond.

C.

own the option-free bond.

解释:

B is correct. The value of a bond with an embedded option is equal to the sum of the value of an option-free bond plus the value to the embedded option.

With a putable bond, the embedded put option is owned by the bond investor, who can exercise the option if yields-to-maturity increase, as in this scenario.

Under A, the embedded call option is owned by the bond issuer, who is more likely to exercise if yields-to-maturity decrease (that is, the bond investor is short the call option).

As for C, the option-free bond underperforms the putable bond given the rise in value of the embedded put option.

Mac duration 对应的是reinvestment risk 还是 price risk 来着

如果上面那句话成立,那么久期应该对应price risk, 因为利率上升的时候price risk 大

评价一下理解是否正确

1 个答案
已采纳答案

pzqa015 · 2022年04月26日

嗨,爱思考的PZer你好:


根据△P/P=-MD*△y, 如果预测利率向上,那么应该降低modified duration,这样价格损失会最低。

所以,题目说预判收益率曲线平行向上,应该选择短久期的债券品种。

embedded option bond久期是短语option free bond的。

mac duration代表的是剩余到期日的加权平均值,用来衡量price risk。


----------------------------------------------
就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

Congliu828 · 2022年08月15日

短与,而不是短语

  • 1

    回答
  • 0

    关注
  • 487

    浏览
相关问题

NO.PZ2021120102000004 问题如下 investment manager is consiring creasing portfolio rationversus a benchmark inx given her expectations of upwarparallel shift inthe yielcurve. If she ha choibetween a callable, putable, oroption-free bonwith otherwise comparable characteristics, the most profitableposition woulto: ownthe callable bon B.own the putable bon own the option-free bon B is correct. The value of a bonwith anembeeoption is equto the sum ofthe value of option-free bonplus the value to the embeeoption.With a putable bon the embeeput option isownethe boninvestor, who cexercise theoption if yiel-to-maturity increase, in this scenario.Unr the embeecall option is ownebythe bonissuer, who is more likely to exercise ifyiel-to-maturity crease (this, the boninvestor is short the calloption). for the option-free bonunrperformsthe putable bongiven the rise in value of theembeeput option. 老师讲过option free bonration比callable和putable bon大。同时,基础班讲义51页的例题问most profitable,老师说也就是选ration最大的。请问这道题为什么不是选ration的思路?以及这两道题结合在一起,什么时候根据ration最大、什么时候选含权债?

2024-06-11 10:18 1 · 回答

NO.PZ2021120102000004 问题如下 investment manager is consiring creasing portfolio rationversus a benchmark inx given her expectations of upwarparallel shift inthe yielcurve. If she ha choibetween a callable, putable, oroption-free bonwith otherwise comparable characteristics, the most profitableposition woulto: ownthe callable bon B.own the putable bon own the option-free bon B is correct. The value of a bonwith anembeeoption is equto the sum ofthe value of option-free bonplus the value to the embeeoption.With a putable bon the embeeput option isownethe boninvestor, who cexercise theoption if yiel-to-maturity increase, in this scenario.Unr the embeecall option is ownebythe bonissuer, who is more likely to exercise ifyiel-to-maturity crease (this, the boninvestor is short the calloption). for the option-free bonunrperformsthe putable bongiven the rise in value of theembeeput option. No.PZ2021120102000004 (选择题)

2024-05-12 16:58 1 · 回答

NO.PZ2021120102000004问题如下 investment manager is consiring creasing portfolio rationversus a benchmark inx given her expectations of upwarparallel shift inthe yielcurve. If she ha choibetween a callable, putable, oroption-free bonwith otherwise comparable characteristics, the most profitableposition woulto: ownthe callable bonB.own the putable bonown the option-free bon B is correct. The value of a bonwith anembeeoption is equto the sum ofthe value of option-free bonplus the value to the embeeoption.With a putable bon the embeeput option isownethe boninvestor, who cexercise theoption if yiel-to-maturity increase, in this scenario.Unr the embeecall option is ownebythe bonissuer, who is more likely to exercise ifyiel-to-maturity crease (this, the boninvestor is short the calloption). for the option-free bonunrperformsthe putable bongiven the rise in value of theembeeput option. 含权债券价格中callable bon利率升高的时候,call option价值下跌,负call option就相当于上升,为什么不能选?跟put option相比也没说那个价值大啊

2024-01-25 19:06 3 · 回答

NO.PZ2021120102000004 问题如下 investment manager is consiring creasing portfolio rationversus a benchmark inx given her expectations of upwarparallel shift inthe yielcurve. If she ha choibetween a callable, putable, oroption-free bonwith otherwise comparable characteristics, the most profitableposition woulto: ownthe callable bon B.own the putable bon own the option-free bon B is correct. The value of a bonwith anembeeoption is equto the sum ofthe value of option-free bonplus the value to the embeeoption.With a putable bon the embeeput option isownethe boninvestor, who cexercise theoption if yiel-to-maturity increase, in this scenario.Unr the embeecall option is ownebythe bonissuer, who is more likely to exercise ifyiel-to-maturity crease (this, the boninvestor is short the calloption). for the option-free bonunrperformsthe putable bongiven the rise in value of theembeeput option. 答案和题干中的降低ration有啥关系

2024-01-11 14:46 1 · 回答

NO.PZ2021120102000004问题如下 investment manager is consiring creasing portfolio rationversus a benchmark inx given her expectations of upwarparallel shift inthe yielcurve. If she ha choibetween a callable, putable, oroption-free bonwith otherwise comparable characteristics, the most profitableposition woulto: ownthe callable bonB.own the putable bonown the option-free bon B is correct. The value of a bonwith anembeeoption is equto the sum ofthe value of option-free bonplus the value to the embeeoption.With a putable bon the embeeput option isownethe boninvestor, who cexercise theoption if yiel-to-maturity increase, in this scenario.Unr the embeecall option is ownebythe bonissuer, who is more likely to exercise ifyiel-to-maturity crease (this, the boninvestor is short the calloption). for the option-free bonunrperformsthe putable bongiven the rise in value of theembeeput option. 对于含权债券来讲,profit的意思是行权才能获得profit,不行权就没有profit,是这样吗?

2023-12-10 21:06 2 · 回答