问题如下图：
选项：
A. 
B. 
C. 
解释：
老师，题说这个callable bond没有锁定期，那理论上应该是任何时候都可以call 回，相当于发行人的成本不可能大于100,那最后折现回来是100.5446，那发行人应该行权才对。为什么不是100.8789-100呢？谢谢
NO.PZ2018123101000086 问题如下 Exhibit 1 shows par, spot, anone-yeforwarrates.Bon4 is a fixeRate Bon of Alpha Corporation, with 1.55% annucoupon ancallable pwithout any lockout perio. The bonmaturity is 3 years.Baseon the information above, the value of the embeeoption in Bon4 is closest to: A.nil. B.0.1906. C.0.8789. C is correct.考点考察对含权债券的理解解析债券4是可Callable。其价值为Value of callable bon= value of straight bon– value of call option on bon此，Embeecall option的价值为Value of call option on bon= Value of straight bon– Value of callable bon用Spot rate对该Straight bon行定价为1.55(1.0100)1+1.55(1.012012)2+101.55(1.012515)3=100.8789\frac{1.55}{{(1.0100)}^1}+\frac{1.55}{{(1.012012)}^2}+\frac{101.55}{{(1.012515)}^3}=100.8789(1.0100)11.55+(1.012012)21.55+(1.012515)3101.55=100.8789无赎回保护期的可赎回债券的价值不能超过100，因此call option的价值为=100.8789–100=0.8789。 解析里Call option的Value是100.8789-100=0.8789，但是提问中回答是100.8789-100.5446=0.3343，哪种算法才是正确的呢？
NO.PZ2018123101000086 问题如下 Exhibit 1 shows par, spot, anone-yeforwarrates.Bon4 is a fixeRate Bon of Alpha Corporation, with 1.55% annucoupon ancallable pwithout any lockout perio. The bonmaturity is 3 years.Baseon the information above, the value of the embeeoption in Bon4 is closest to: A.nil. B.0.1906. C.0.3343. C is correct.考点考察对含权债券的理解解析债券4是可Callable。其价值为Value of callable bon= value of straight bon– value of call option on bon此，Embeecall option的价值为Value of call option on bon= Value of straight bon– Value of callable bon用Spot rate对该Straight bon行定价为1.55(1.0100)1+1.55(1.012012)2+101.55(1.012515)3=100.8789\frac{1.55}{{(1.0100)}^1}+\frac{1.55}{{(1.012012)}^2}+\frac{101.55}{{(1.012515)}^3}=100.8789(1.0100)11.55+(1.012012)21.55+(1.012515)3101.55=100.8789而Callable bon定价需要使用1-yeforwarrate，将债券的现金流从最后一期开始，依次向前一个节点折现，以判断折现值是否会触发行权价；使用表格中的Forwarrate对Callable bon行定价因此Call option的Value为100.8789-100.5446=0.3343 相同的题目编号，NO.PZ201712110200000304这道题的题解The value of a callable bon(par) with no call protection periocannot excee100, thprior higher the bonwoulcallet=0时刻也能call
NO.PZ2018123101000086 问题如下 Exhibit 1 shows par, spot, anone-yeforwarrates.Bon4 is a fixeRate Bon of Alpha Corporation, with 1.55% annucoupon ancallable pwithout any lockout perio. The bonmaturity is 3 years.Baseon the information above, the value of the embeeoption in Bon4 is closest to: A.nil. B.0.1906. C.0.3343. C is correct.考点考察对含权债券的理解解析债券4是可Callable。其价值为Value of callable bon= value of straight bon– value of call option on bon此，Embeecall option的价值为Value of call option on bon= Value of straight bon– Value of callable bon用Spot rate对该Straight bon行定价为1.55(1.0100)1+1.55(1.012012)2+101.55(1.012515)3=100.8789\frac{1.55}{{(1.0100)}^1}+\frac{1.55}{{(1.012012)}^2}+\frac{101.55}{{(1.012515)}^3}=100.8789(1.0100)11.55+(1.012012)21.55+(1.012515)3101.55=100.8789而Callable bon定价需要使用1-yeforwarrate，将债券的现金流从最后一期开始，依次向前一个节点折现，以判断折现值是否会触发行权价；使用表格中的Forwarrate对Callable bon行定价因此Call option的Value为100.8789-100.5446=0.3343 老师，二叉树求债券时，二叉树的利率都是forwarrate对吗？
NO.PZ2018123101000086 问题如下 Exhibit 1 shows par, spot, anone-yeforwarrates.Bon4 is a fixeRate Bon of Alpha Corporation, with 1.55% annucoupon ancallable pwithout any lockout perio. The bonmaturity is 3 years.Baseon the information above, the value of the embeeoption in Bon4 is closest to: A.nil. B.0.1906. C.0.3343. C is correct.考点考察对含权债券的理解解析债券4是可Callable。其价值为Value of callable bon= value of straight bon– value of call option on bon此，Embeecall option的价值为Value of call option on bon= Value of straight bon– Value of callable bon用Spot rate对该Straight bon行定价为1.55(1.0100)1+1.55(1.012012)2+101.55(1.012515)3=100.8789\frac{1.55}{{(1.0100)}^1}+\frac{1.55}{{(1.012012)}^2}+\frac{101.55}{{(1.012515)}^3}=100.8789(1.0100)11.55+(1.012012)21.55+(1.012515)3101.55=100.8789而Callable bon定价需要使用1-yeforwarrate，将债券的现金流从最后一期开始，依次向前一个节点折现，以判断折现值是否会触发行权价；使用表格中的Forwarrate对Callable bon行定价因此Call option的Value为100.8789-100.5446=0.3343 用forwarrate给含权债券估值是考纲内容吗？对应基础班讲义哪个位置？
NO.PZ2018123101000086 问题如下 Exhibit 1 shows par, spot, anone-yeforwarrates.Bon4 is a fixeRate Bon of Alpha Corporation, with 1.55% annucoupon ancallable pwithout any lockout perio. The bonmaturity is 3 years.Baseon the information above, the value of the embeeoption in Bon4 is closest to: A.nil. B.0.1906. C.0.3343. C is correct.考点考察对含权债券的理解解析债券4是可Callable。其价值为Value of callable bon= value of straight bon– value of call option on bon此，Embeecall option的价值为Value of call option on bon= Value of straight bon– Value of callable bon用Spot rate对该Straight bon行定价为1.55(1.0100)1+1.55(1.012012)2+101.55(1.012515)3=100.8789\frac{1.55}{{(1.0100)}^1}+\frac{1.55}{{(1.012012)}^2}+\frac{101.55}{{(1.012515)}^3}=100.8789(1.0100)11.55+(1.012012)21.55+(1.012515)3101.55=100.8789而Callable bon定价需要使用1-yeforwarrate，将债券的现金流从最后一期开始，依次向前一个节点折现，以判断折现值是否会触发行权价；使用表格中的Forwarrate对Callable bon行定价因此Call option的Value为100.8789-100.5446=0.3343 这什么原理？不用二叉树也能求含权bon格了吗？怎么没印象课上讲过？
