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.
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] | 
发表于 2008-11-5 15:57
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