久期

问题如下：

In a low interest rate environment, all else being equal, compared with a straight bond, the effective duration of a callable bond will most likely be:

选项：

A.higher.

B.lower.

C.the same.

解释：

When interest rates are low, the callable bond’s price will not increase as much because the presence of the call option will limit the price increase. Because the bond is likely to be called when interest rates are falling, the embedded call option will reduce the effective duration of the bond.

考点：effective duration

解析：当利率下降时，callable bond的价格上升幅度有限，因为callable bond存在价格顶（赎回价），因此当利率下降时，相较于不含权债券，其effective duration较小。