ayu3321

1. As duration is a measurement for uncertain risk and FRN's coupon will be reset on every scheduled reset date, the day before the reset date the duration will be less than the day after the reset date.  So A is incorrect. C is obviously wrong.

 

2. The callable bond has the same in every respect as the straight bond except for the call feature, that means the discount rate should be the same for both bonds. Yield curve is not discount rate curve.

ayu3321

yield curve这个概念很笼统，很多时候都可以把一条收益曲线称为yield curve，但是我所知的惯例里面，如果不是特指某个bond，yield curve一般另有它用。

比如给FRN定价，那么yield curve指的是formula里面RR的远期利率曲线，这时discount rate curve上各点的数值等于value of each point on the yield curve + DM/100

再比如YS定价，discount rate = benchmarkvalue of the yield curve + YS/100，这里benchmarkvalue是通过线性内插法用benchmarkterm在yield curve上求出来的，此时yield curve可以是某个bond，也可以是一组bond组成的收益曲线。

这样看来，discount rate 一般指单个bond的收益，而yield curve在更多的情况下会被用到。