NO.PZ2023032703000061
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 bond which is unlikely to be called, a putable bond which is likely to be put, or an option-free bond with otherwise comparable characteristics, the most profitable position would be to:
选项：
A.own the callable bond.
own the putable bond.
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.
我说一下我的思路，错的和无关的地方请老师说明
预期upwardshift，要降低duration来避免损失
对于investor来说，putable更有可能行权，到期日降低所以putable的duration更低，能够避免损失获得gain
如果对于issuer来说，Vputable=Voption-Vput，upward的情况下反而是亏的？
