标题: Reading 56: Valuing Bonds with Embedded Options-LOS f 习题精 [打印本页]
作者: 土豆妮 时间: 2011-3-23 13:55 标题: [2011]Session 14-Reading 56: Valuing Bonds with Embedded Options-LOS f 习题精
Session 14: Fixed Income: Valuation Concepts
Reading 56: Valuing Bonds with Embedded Options
LOS f: Explain the effect of volatility on the arbitrage-free value of an option.
As the volatility of interest rates increases, the value of a callable bond will:
|
|
|
B) |
rise if the interest rate is below the coupon rate, and fall if the interest rate is above the coupon rate. | |
|
|
As volatility increases, so will the option value, which means the value of a callable bond will decline. Remember that with a callable bond, the investor is short the call option.
作者: 土豆妮 时间: 2011-3-23 13:55
On a given day, a bond with a call provision rose in value by 1%. What can be said about the level and volatility of interest rates?
|
A) |
A possibility is that the level of interest rates remained constant, but the volatility of interest rates fell. | |
|
B) |
The only possible explanation is that level of interest rates fell. | |
|
C) |
A possibility is that the level of interest rates remained constant, but the volatility of interest rates rose. | |
As volatility declines, so will the option value, which means the value of a callable bond will rise.
作者: 土豆妮 时间: 2011-3-23 13:55
As the volatility of interest rates increases, the value of a putable bond will:
|
|
|
|
|
C) |
rise if the interest rate is below the coupon rate, and fall if the interest rate is above the coupon rate. | |
As volatility increases, so will the option value, which means the value of a putable bond will rise. Remember that with a putable bond, the investor is long the put option.
| 欢迎光临 CFA论坛 (http://forum.theanalystspace.com/) |
Powered by Discuz! 7.2 |