[CFA模拟真题] 2006 CFA Level I －NO113 likely, increase, price, 题

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53．All else equal, the most likely effect of an increase in yield volatility on the price of a callable bond and the price of a putable bond, respectively, would be:

	Callable bond	Putable bond
A	Increase	Increase
B	Increase	Decrease
C	Decrease	Increase
D	Decrease	Decrease

 

Select exactly 1 answers from the following: A. B. C. D.
答案和详解如下！
Feedback: Correct answer: C

Fixed Income Analysis for the Chartered Financial Analyst Program, 2nd edition, (Frank J. Fabozzi Associates, 2004), pp.42-43

2006 Modular Level I, Vol. IV, pp. 51-52

Study Session 14-63-m

explain how yield volatility affects the price of a bond with an embedded option and how changes in volatility affect the value of a callable bond and a putable bond

 

The greater the expected yield volatility, the greater the value of an option, which will decrease the price of a callable bond and increase the price of a putable bond.

gchh

?

[此贴子已经被作者于2006-11-22 12:26:09编辑过]

zxue2

C

redway

a

kristinejb

1

zhoujianok

n

xiaoming

a

justinguo2

as

mostofAed

re

zyx8318

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