NO.PZ202304070100008002
问题如下：
Hamilton is analyzing three bonds being considered for investment by Harding: CommCo, which is currently callable at par; StorageTech, which is currently putable at par; and NexTec, which has a make-whole call provision. All three bonds have a five-year maturity, are of equivalent credit quality, and pay the same coupon (3.5%). Harding believes that interest rates will increase more rapidly than currently implied by the market.
Harding asks Hamilton what the impact of increased interest rate volatility and changes to the shape of the yield curve would have on the value of these bonds. She states that all else being equal,
Comment 1 increased interest rate volatility decreases the value of the CommCo bond,
Comment 2 the value of NexTec’s make-whole call provision increases as the yield curve flattens,
Comment 3 and the value of StorageTech’s option will be more valuable with a downward-sloping yield curve than with a flat yield curve.
Which of Hamilton’s comments regarding interest rate volatility and the yield curve is most likely correct?
选项：
A.Comment 2
Comment 1
Comment 3
解释：
Correct Answer: B
Increased interest rate volatility will increase the value of the call option, which will decrease the value of the CommCo bond.
Value of callable bond = Value of straight bond – Value of issuer call option
The make-whole call provision for the NexTec bond is not affected by the shape of the yield curve. With a make-whole call, the bondholders are more than “made whole” (compensated) in exchange for surrendering their bonds, as calculated by a narrow spread to an on-the-run sovereign bond, and investors should have no fear of receiving less than their bonds are worth. A downward-sloping yield curve decreases the value of the put option on StorageTech’s bond relative to a flat or upward-sloping curve.
Value of investor put option = Value of putable bond – Value of straight bond
为什么收益率曲线形状的变化是不影响不含权债券的价值的呢？曲线变Flattening，利率下降，这样Callable bond更好行权
