sekof1988
2018-04-30 14:51Bonds 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
所屬：FRM Part I 視頻位置 相關(guān)試題
來源： 視頻位置 相關(guān)試題
1個回答
Galina助教
2018-05-02 19:28
該回答已被題主采納
同學你好，這題很多無用信息，有用信息如圖，并且要和第四門課的callable bond結(jié)合來看。首先需要明確的就是利率下降，對應(yīng)的債券價格就會上升，那么對于callable bond的行權(quán)概率就會上升，那么這個債券偏離普通債權(quán)就越多，因為普通債權(quán)的convexity就是正的，所以這個債券就會有一個negative convexity
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