关于fixed income中risks in LDI的例题

对的！发行Callable bond，相当于是Short callable bond ；

而 Short callable bond = long option + short option-free bond；发行人持有Embedded call option；

注意第二段最后一句话：The idea is to transform the callable bond (the liability) into a non-callable security synthetically using the swaption；

也就是说，将Callable bond的liability通过叠加一个Option头寸，合成一个头寸，这个头寸是Non-callable bond的liability；

因为：

Short callable bond = long option + short option-free bond；

所以两边再Short option，就变成了：Short callable bond + short option = short option-free bond；这就刚好满足了题干要求。右边就变成了想要合成的Synthetic non-callable bond liability.