求解释

问题如下：

From the time of issuance until the bond matures, which of the following bonds is most likely to exhibit negative convexity?

选项：

A.

A puttable bond

B.

A callable bond

C.

An option-free bond selling at a discount

D.

A zero-coupon bond

解释：

ANSWER: B

A callable bond is short an option, which creates negative convexity for some levels of interest rates. Regular bonds, as in answers C and D, have positive convexity, as well as puttable bonds.

解析：

从债券发行日到债券到期，下面哪一个债券有可能会出现负的凸性？

选B，因为callable bond即可赎回债券，对于债券购买人而言，赋予了发行方赎回债券的权利，那么债券的价格高到某一个程度的时候就不上去了，债券价格与利率变动呈现negative convexity的性质，这个是callable bond的特性。