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大瓶子 · 2023年09月07日

没明白为什么选C.

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.

B.

Called in year2.

C.

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.

1 个答案
已采纳答案

吴昊_品职助教 · 2023年09月07日

嗨,从没放弃的小努力你好:


这道题要我们计算的是YTW,也就是各个yield中最差的那一个。现在一共有三个yield。

1、yield to first call:8.57% N=1,PV= -105,FV=104,PMT=10,I/Y=8.57

2、yield to second call:8.15% N=2,PV= -105,FV=102,PMT=10,I/Y=8.15

3、yield to maturity:8.06% N=3,PV= -105,FV=100,PMT=10,I/Y=8.06

三者中最差的是YTM,所以选C。

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