sekof19882018-04-30 14:51:57
Bonds issued by XYZ Corp. are currently callable at par value and trade close to par. The bonds mature in 8 years and have a coupon of 8%. The yield on the XYZ bonds is 175 basis points over 8-year US Treasury securities, and the Treasury spot yield curve has a normal, rising shape. If the yield on bonds comparable to XYZ bond decreases sharply, the XYZ bonds will most likely exhibit: A. Negative convexity B. Increasing modified duration C. Increasing effective duration D. Positive convexity
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Galina2018-05-02 19:28:00
同学你好,这题很多无用信息,有用信息如图,并且要和第四门课的callable bond结合来看。首先需要明确的就是利率下降,对应的债券价格就会上升,那么对于callable bond的行权概率就会上升,那么这个债券偏离普通债权就越多,因为普通债权的convexity就是正的,所以这个债券就会有一个negative convexity
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