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一凡007 · 2024年09月28日

为什么不可以用104.1656-103.6617/2呢？

  1. FRM I
  2. Valuation And Risk Models

NO.PZ2023091701000029

问题如下：

A risk manager is evaluating the price sensitivity of an investment-grade callable bond using the firm’s valuation system. The table below presents information on the bond as well as on the embedded option. The current interest rate environment is flat at 5%.

The DV01 of a comparable bond with no embedded options having the same maturity and coupon rate is closest to:

选项：

A.0.0185

B.0.2706

C.0.2891

D.0.3077

解释：

The call option reduces the bond price, therefore the bond with no embedded options will be the sum of the callable bond price and the call option price.

Therefore the price of the bond with no embedded options at a rate of 4.98% would be 104.1657 and the price at a rate of 5.02% would be 102.9351.

DV01 is a measure of price sensitivity of a bond. To calculate the DV01, the following equation is used:

Where ΔP is the change in price and Δy is the change in yield. Therefore

麻烦老师解答一下，可不可以除以2bp

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1 个答案

李坏_品职助教 · 2024年09月29日

嗨，努力学习的PZer你好：


不行的。这道题是先用含权债券推算出对应的普通债券的价格，然后普通债权价格作差。所以分母和分子对应，也必须是含权债券价格的利率之差。


而且你分子也不能用-103.6617，题目已知目前的利率是5%，要计算利率变动情况下的债券价格，那只能用题目给的条件，4.98%对应的104.1657和5.02%对应的102.9351.

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努力的时光都是限量版，加油！

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