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PZmomo · 2024年05月02日

statement1和3

NO.PZ2023040701000072

问题如下:

Krishnan discusses the use of the valuation model to calculate effective duration and effective convexity with one of Klang Analytics’ developers. The developer makes the following statements:

Statement 1: The effective convexity of a putable bond cannot be less than that of an otherwise identical option-free bond.

Statement 2: The effective convexity of a callable bond can be negative in some circumstances, but the effective convexity of a putable bond is always positive.

Statement 3: The effective duration of a callable bond cannot be greater than that of an otherwise identical option-free bond and the effective duration of a putable bond cannot be less than that of the option-free bond.

Which of the statements made by the Klang Analytics developer is most likely correct?

选项:

A.

Statement 1

B.

Statement 3

C.

Statement 2

解释:

Correct Answer: C

Statement 2 is correct. The convexity of a callable bond turns negative when the call option is near the money, because the upside for the bond is much smaller than the downside (because the value is capped at the call price.) The convexity of a putable bond is always positive because when the option is near the money, the upside for the bond is much larger than the downside (because the floor value is the put price).

statement1和3错误在哪里?

1 个答案
已采纳答案

吴昊_品职助教 · 2024年05月04日

嗨,努力学习的PZer你好:


本题是mock题,但是选项有误,statement 1和statement 2都是对的,只有statement 3是错误的。

statement 3错在后半句,前半句是对的。由于含权债券可以提前行权,所以它们的有效久期会比不含权债券要小,正确的大小关系是:callable bond的有效久期≤不含权债券的有效久期;putable bond有效久期≤不含权债券的有效久期,但是后半句说成了≥,所以statement 3是错的。

这道题收录在我们经典题中,同学不妨可以去听一下何老师对于这道题的解释。

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