天堂之歌

听歌而来,送我踏青云〜

您现在的坐在位置:首页>智汇问答>FRM一级

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

回答(1)

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

  • 评论(0
  • 追问(0
评论

精品推荐

评论

0/1000

追答

0/1000

+上传图片

    400-700-9596
    (每日9:00-21:00免长途费 )

    ©2024金程网校保留所有权利

    X

    注册金程网校

    验证码

    同意金程的《用户协议》
    直接登录:

    已有账号登录