求助：两个CFA level I 的问题(fixed income)

3052042018

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收藏 2012-08-15

Q1：why is “a high coupon bond will exhibit negative convexity” correct ?
(book 5,p650,reading 67,answer to question 8)

Q2:"At yield levels that are close to the bond's coupon rate, is the price of an option-free bond higher than the price of an otherwise identical callable bond and putable bond ? Answer : correct for callable bond,incorrect for putable bond "
(book 5,p647,reading 67,question 20)

Supplemental question for Q2: The price-yield curve for option embodied bonds (callable or putable) diverges that of option-free bond on the level of yield which is the option embodied bonds'coupon rate ? why is it correct or incorrect ?

Thank you very much !!!

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29898088

2012-8-15 19:45:04

Q1： They are both callable bond. According to p%=-d*Dleta(y), when yield increase, price will decrease. ABC decrease less, so it has a lower duration. High coupon bond will have a lower duration.

Q2: Callable bond give issuer the right to buy back the bond, they need to pay for the right. Thus, callable bond will have a lower price than straight bond. Putable bond gives holder the right to sell the bond, they have to pay for the right, so its price is higher than straight bond.

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3052042018

2012-8-15 19:57:28

29898088 发表于 2012-8-15 19:45
Q1： They are both callable bond. According to p%=-d*Dleta(y), when yield increase, price will decre ...

thanks for your kindness. but i think you are missing the point. the first one is about convexity (not duration), the second one has something to do with the bond's coupon rate(is it the point option embodied bond's price-yield curve diverges that of option-free bond ?) .i would appreciate it if you reconsider these questions

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29898088

2012-8-15 20:07:54

Q1: 无解了，坐等高人吧，我没看过教材，我知道callable bond应该都是negative convexity在low yield的时候, 不知道这怎么回事。
Q2. 不理解
Sorry.

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