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wangbj · 2024年04月04日

c选项

* 问题详情,请 查看题干

NO.PZ202304070100006003

问题如下:

A fall in interest rates would most likely result in:

选项:

A.

a decrease in the effective duration of Bond #3.

B.

Bond #3 having more upside potential than Bond #2.

C.

a change in the effective convexity of Bond #3 from positive to negative.

解释:

Correct Answer: B

A fall in interest rates results in a rise in bond values. For a callable bond such as Bond #2, the upside potential is capped because the issuer is more likely to call the bond. In contrast, the upside potential for a putable bond such as Bond #3 is uncapped. Thus, a fall in interest rates would result in a putable bond having more upside potential than an otherwise identical callable bond. Note that A is incorrect because the effective duration of a putable bond increases, not decreases, with a fall in interest rates—the bond is less likely to be put and thus behaves more like an option-free bond. C is also incorrect because the effective convexity of a putable bond is always positive. It is the effective convexity of a callable bond that will change from positive to negative if interest rates fall and the call option is near the money.

解释一下c选项,不太记得了

1 个答案

品职答疑小助手雍 · 2024年04月04日

同学你好,bond3是putable的,也就是投资人在债券价低的时候可以以strike价格卖出。

现在题目情况是利率下降,债券价格上升,不会触发put option。也不会导致凸性变负。

另外也只有callable的bond在利率很低的时候才会凸性变负,putable的没这种情况。

wangbj · 2024年04月04日

为什么callable bond低利率会凸性变负

wangbj · 2024年04月04日

没事了我看到相关讲解了