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Feitch · 2022年04月04日

什么时后投资callable bond对投资者有利?

NO.PZ2021120102000004

问题如下:

An investment manager is considering decreasing portfolio durationversus a benchmark index given her expectations of an upward parallel shift inthe yield curve.

If she has a choice between a callable, putable, oroption-free bond with otherwise comparable characteristics, the most profitableposition would be to:

选项:

A.

ownthe callable bond.

B.

own the putable bond.

C.

own the option-free bond.

解释:

B is correct. The value of a bond with anembedded option is equal to the sum ofthe value of an option-free bond plus the value to the embedded option.

With a putable bond, the embedded put option isowned by the bond investor, who can exercise theoption if yields-to-maturity increase, as in this scenario.

Under A, the embedded call option is owned bythe bond issuer, who is more likely to exercise ifyields-to-maturity decrease (that is, the bond investor is short the calloption).

As for C, the option-free bond underperformsthe putable bond given the rise in value of theembedded put option.

由于基金经理预期收益率曲线将上行,所以,应该选择putable bond,它在降低久期的同时,对投资者有利。 若预期收益率曲线将下行,直接选择optiob-free bond,那什么时候投资callable bond有利?

1 个答案

pzqa015 · 2022年04月04日

嗨,努力学习的PZer你好:


你的问题是旧考纲的知识点,新考纲已经删掉了,下面这些理解就好。

预期static yield curve下的策略有三个,分别是Buy and hold、riding the yield curve和repo carry trade。旧考纲除了这三个策略以外,还有一个是sell convexity,这个策略就是通过buy callable来实现的。

callable bond=long option free bond+short call option on the bond,option有正的convexity,所以short option是sell convexity,所以,如果预期收益率曲线不变,是可以买callable bond的。

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努力的时光都是限量版,加油!

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