NO.PZ2023010301000055
问题如下:
A 10% coupon bond with annual payments, maturing in 3 years, is priced at 105. The bond is callable in one year at a call price of 104 or two years at a call price of 102. The bonds yield to worst most likely occurs when the bond is:
选项:
A.Called in year 1.
Called in year2.
Held until maturity.
解释:
Correct Answer: C
The yield to worst for a callable bond is the lowest of the yields to call for each possible call date and the yield to maturity. The yield to call or yield to maturity solves the following equation:
没明白为什么选C.