6、At yield levels that are high relative to the bond's coupon rate, is the price of an option-free bond higher than the price of an otherwise identical:

      callable bond?      putable bond?

A.   No  No

B.    No  Yes

C.   Yes  No

D.   Yes  Yes

A. Answer A

B. Answer B

C. Answer C

D. Answer D

答案如下：

6、Correct answer is C
"Introduction to the Measurement of Interest Rate Risk," Frank J. Fabozzi
2008 Modular Level I, Vol. 5, pp. 480-488
Study Session 16-69-b
demonstrate the price volatility characteristics for option-free, callable, prepayable, and putable bonds when interest rates change
At relatively high yield levels, the value of a comparable callable bond is basically the same as an option-free bond because the value of the call option is quite small (the callable bond will trade at a slightly lower price because the value of the call option is subtracted). At high yield levels, the price of a comparable putable bond will be higher than the price of the option-free bond because the value of the put option is added.

[此贴子已经被作者于2008-11-25 11:12:33编辑过]

答案和详解如下：

6、Correct answer is C

"Introduction to the Measurement of Interest Rate Risk," Frank J. Fabozzi

2008 Modular Level I, Vol. 5, pp. 480-488

Study Session 16-69-b

demonstrate the price volatility characteristics for option-free, callable, prepayable, and putable bonds when interest rates change

At relatively high yield levels, the value of a comparable callable bond is basically the same as an option-free bond because the value of the call option is quite small (the callable bond will trade at a slightly lower price because the value of the call option is subtracted). At high yield levels, the price of a comparable putable bond will be higher than the price of the option-free bond because the value of the put option is added.