问题如下图：
选项：
A. 
B. 
C. 
解释：
这个答案对吗，是不是应该选A 呢，答案里这些利率是怎么出来的呢？
NO.PZ2018123101000091 问题如下 Note: Eabonha remaining maturity of three years, annucoupon payments, ana cret rating of BBB.Bianchi constructs binomiinterest rate tree baseon a 10% interest rate volatility assumption ana current one-yerate of 1%. Panel A of Exhibit 2 provis interest rate tree assuming the benchmark yielcurve shifts wn 30 bps. Panel B provis interest rate tree assuming the benchmark yielcurve shifts up 30 bps.Bianchi termines ththe bonis currently trang option-austespre(OAS) of 13.95 bps relative to the benchmark yielcurve.Baseon Exhibits 1 an2, the effective ration for the bonis closest to: A.1.98. B.2.15 C.2.73 B is correct.考点考察Effective ration的计算解析本题的计算比较多，需要利用利率向上平移的二叉树计算出PV(+)，并且利用利率向下平移的二叉树计算出PV(-)。PV0为100.200为表一中已知信息。利率向下平移30 bps，债券价格 (PV – ) 为100.78.利率向上平移30 bps，债券价格(PV+) 为99.487.利用Effective ration公式有E(PV−)−(PV+)2×(ΔCurve)×(PV0)=100.780−99.4872×0.003×100.200=2.15E\frac{(PV_-)-(PV_+)}{2\times(\lta Curve)\times(PV_0)}=\frac{100.780-99.487}{2\times0.003\times100.200}=2.15E2×(ΔCurve)×(PV0)(PV−)−(PV+)=2×0.003×100.200100.780−99.487=2.15 如题
NO.PZ2018123101000091问题如下 Note: Eabonha remaining maturity of three years, annucoupon payments, ana cret rating of BBB.Bianchi constructs binomiinterest rate tree baseon a 10% interest rate volatility assumption ana current one-yerate of 1%. Panel A of Exhibit 2 provis interest rate tree assuming the benchmark yielcurve shifts wn 30 bps. Panel B provis interest rate tree assuming the benchmark yielcurve shifts up 30 bps.Bianchi termines ththe bonis currently trang option-austespre(OAS) of 13.95 bps relative to the benchmark yielcurve.Baseon Exhibits 1 an2, the effective ration for the bonis closest to:A.1.98.B.2.15C.2.73B is correct.考点考察Effective ration的计算解析本题的计算比较多，需要利用利率向上平移的二叉树计算出PV(+)，并且利用利率向下平移的二叉树计算出PV(-)。PV0为100.200为表一中已知信息。利率向下平移30 bps，债券价格 (PV – ) 为100.78.利率向上平移30 bps，债券价格(PV+) 为99.487.利用Effective ration公式有E(PV−)−(PV+)2×(ΔCurve)×(PV0)=100.780−99.4872×0.003×100.200=2.15E\frac{(PV_-)-(PV_+)}{2\times(\lta Curve)\times(PV_0)}=\frac{100.780-99.487}{2\times0.003\times100.200}=2.15E2×(ΔCurve)×(PV0)(PV−)−(PV+)=2×0.003×100.200100.780−99.487=2.15答案中折现率7.1432%等是怎么算的，能举一个例子不
NO.PZ2018123101000091 问题如下 Note: Eabonha remaining maturity of three years, annucoupon payments, ana cret rating of BBB.Bianchi constructs binomiinterest rate tree baseon a 10% interest rate volatility assumption ana current one-yerate of 1%. Panel A of Exhibit 2 provis interest rate tree assuming the benchmark yielcurve shifts wn 30 bps. Panel B provis interest rate tree assuming the benchmark yielcurve shifts up 30 bps.Bianchi termines ththe bonis currently trang option-austespre(OAS) of 13.95 bps relative to the benchmark yielcurve.Baseon Exhibits 1 an2, the effective ration for the bonis closest to: A.1.98. B.2.15 C.2.73 B is correct.考点考察Effective ration的计算解析本题的计算比较多，需要利用利率向上平移的二叉树计算出PV(+)，并且利用利率向下平移的二叉树计算出PV(-)。PV0为100.200为表一中已知信息。利率向下平移30 bps，债券价格 (PV – ) 为100.78.利率向上平移30 bps，债券价格(PV+) 为99.487.利用Effective ration公式有E(PV−)−(PV+)2×(ΔCurve)×(PV0)=100.780−99.4872×0.003×100.200=2.15E\frac{(PV_-)-(PV_+)}{2\times(\lta Curve)\times(PV_0)}=\frac{100.780-99.487}{2\times0.003\times100.200}=2.15E2×(ΔCurve)×(PV0)(PV−)−(PV+)=2×0.003×100.200100.780−99.487=2.15 如果是putable bon那低于100 的取不到对吧？
NO.PZ2018123101000091 问题如下 Note: Eabonha remaining maturity of three years, annucoupon payments, ana cret rating of BBB.Bianchi constructs binomiinterest rate tree baseon a 10% interest rate volatility assumption ana current one-yerate of 1%. Panel A of Exhibit 2 provis interest rate tree assuming the benchmark yielcurve shifts wn 30 bps. Panel B provis interest rate tree assuming the benchmark yielcurve shifts up 30 bps.Bianchi termines ththe bonis currently trang option-austespre(OAS) of 13.95 bps relative to the benchmark yielcurve.Baseon Exhibits 1 an2, the effective ration for the bonis closest to: A.1.98. B.2.15 C.2.73 B is correct.考点考察Effective ration的计算解析本题的计算比较多，需要利用利率向上平移的二叉树计算出PV(+)，并且利用利率向下平移的二叉树计算出PV(-)。PV0为100.200为表一中已知信息。利率向下平移30 bps，债券价格 (PV – ) 为100.78.利率向上平移30 bps，债券价格(PV+) 为99.487.利用Effective ration公式有E(PV−)−(PV+)2×(ΔCurve)×(PV0)=100.780−99.4872×0.003×100.200=2.15E\frac{(PV_-)-(PV_+)}{2\times(\lta Curve)\times(PV_0)}=\frac{100.780-99.487}{2\times0.003\times100.200}=2.15E2×(ΔCurve)×(PV0)(PV−)−(PV+)=2×0.003×100.200100.780−99.487=2.15 老师上课的时候讲到，对比Z-spreaOsprea时候，OAS是剔除了权利的影响，分子的现金流已经是包含权利影响了。但是在二叉树中，其实用来折现的现金流还是coupon+本金，并没有考虑到权利的价值，为什么在折现的时候还能直接加上OAS呢？
NO.PZ2018123101000091问题如下Note: Eabonha remaining maturity of three years, annucoupon payments, ana cret rating of BBB.Bianchi constructs binomiinterest rate tree baseon a 10% interest rate volatility assumption ana current one-yerate of 1%. Panel A of Exhibit 2 provis interest rate tree assuming the benchmark yielcurve shifts wn 30 bps. Panel B provis interest rate tree assuming the benchmark yielcurve shifts up 30 bps.Bianchi termines ththe bonis currently trang option-austespre(OAS) of 13.95 bps relative to the benchmark yielcurve.Baseon Exhibits 1 an2, the effective ration for the bonis closest to:A.1.98.B.2.15C.2.73B is correct.考点考察Effective ration的计算解析本题的计算比较多，需要利用利率向上平移的二叉树计算出PV(+)，并且利用利率向下平移的二叉树计算出PV(-)。PV0为100.200为表一中已知信息。利率向下平移30 bps，债券价格 (PV – ) 为100.78.利率向上平移30 bps，债券价格(PV+) 为99.487.利用Effective ration公式有E(PV−)−(PV+)2×(ΔCurve)×(PV0)=100.780−99.4872×0.003×100.200=2.15E\frac{(PV_-)-(PV_+)}{2\times(\lta Curve)\times(PV_0)}=\frac{100.780-99.487}{2\times0.003\times100.200}=2.15E2×(ΔCurve)×(PV0)(PV−)−(PV+)=2×0.003×100.200100.780−99.487=2.15题干说的是一年和两年后可以行权，第三年没说可以行权啊？
