高頓CFA為你解答: Callablebond(可贖回債券): Givestheissuertherighttoredeemallorpartofthebondbeforethespecifiedmaturitydate; Canprotectissuersagainstdeclineininterestrate; Callprice:thepricetoredeemthebond; Callprovisionsarebeneficialtotheissuer; Investorsfacemorereinvestmentrisk,andwillaskhigheryield,andpaylowerprice; Callablebond=non-callablebond-calloption; 可贖回債券給予發行人權利,即可以在指定的到期日贖回部分或者所有的債權; 這個條款對於發向人有利,可以保護髮行人在利率下降時無需支付高額的利息。因此投資者會面對較大的在投資風險,所以可贖回債券比起沒有嵌入期權的債權,有著較高的收益率和更低的價格,可贖回債券的價值等於不可贖回債券的價值減去看漲期權的價值。 Putablebonds(可回售債券): Givesthebondholderstherighttosellthebondbacktotheissueratapre-determinedpriceonspecifieddates. Canprotectinvestoragainstincreaseininterestrate. Putprice:thepricetosellbackthebond; Putprovisionsarebeneficialtotheinvestors; Investorswillaskloweryield,andpayhigherprice; Putablebond=non-putablebond+putoption 可回售債券是債券持有人可以在債券到期日前的特定日期按照特定價格強制把債券賣給債券發行人,可售回債券給予投資者權利,債券持有人一般會選擇當利率上升時把債券回售給發行人,一般來說,基於這樣的性質,投資者願意支付更高的價格,獲得更少的收益,可售回債券的價值等於不可售回債券的價值加上看跌期權的價值。 例:Allotherthingsbeingequal,anincreaseinexpectedyieldvolatilityleastlikelyincreasesthepriceof: A.aputablebond. B.acallablebond. C.anoption-freebond. 答案:B 解析:Explainhowyieldvolatilityaffectsthepriceofabondwithanembeddedoptionandhowchangesinvolatilityaffectthevalueofacallablebondandaputablebond. Biscorrectbecausethepriceofacallablebondisequaltothevalueofanoption-freebondminusthevalueoftheembeddedcalloption.Aincreaseinyieldvolatilitywillincreasethevalueofthecalloptionand,therefore,decreasethevalueofthecallablebond. 當收益率波動增大時,債券被贖回的可能性增加,因此投資者會面臨更大的再投資風險,所以可贖回債券的價格會降低。
高頓CFA為你解答: Callablebond(可贖回債券): Givestheissuertherighttoredeemallorpartofthebondbeforethespecifiedmaturitydate; Canprotectissuersagainstdeclineininterestrate; Callprice:thepricetoredeemthebond; Callprovisionsarebeneficialtotheissuer; Investorsfacemorereinvestmentrisk,andwillaskhigheryield,andpaylowerprice; Callablebond=non-callablebond-calloption; 可贖回債券給予發行人權利,即可以在指定的到期日贖回部分或者所有的債權; 這個條款對於發向人有利,可以保護髮行人在利率下降時無需支付高額的利息。因此投資者會面對較大的在投資風險,所以可贖回債券比起沒有嵌入期權的債權,有著較高的收益率和更低的價格,可贖回債券的價值等於不可贖回債券的價值減去看漲期權的價值。 Putablebonds(可回售債券): Givesthebondholderstherighttosellthebondbacktotheissueratapre-determinedpriceonspecifieddates. Canprotectinvestoragainstincreaseininterestrate. Putprice:thepricetosellbackthebond; Putprovisionsarebeneficialtotheinvestors; Investorswillaskloweryield,andpayhigherprice; Putablebond=non-putablebond+putoption 可回售債券是債券持有人可以在債券到期日前的特定日期按照特定價格強制把債券賣給債券發行人,可售回債券給予投資者權利,債券持有人一般會選擇當利率上升時把債券回售給發行人,一般來說,基於這樣的性質,投資者願意支付更高的價格,獲得更少的收益,可售回債券的價值等於不可售回債券的價值加上看跌期權的價值。 例:Allotherthingsbeingequal,anincreaseinexpectedyieldvolatilityleastlikelyincreasesthepriceof: A.aputablebond. B.acallablebond. C.anoption-freebond. 答案:B 解析:Explainhowyieldvolatilityaffectsthepriceofabondwithanembeddedoptionandhowchangesinvolatilityaffectthevalueofacallablebondandaputablebond. Biscorrectbecausethepriceofacallablebondisequaltothevalueofanoption-freebondminusthevalueoftheembeddedcalloption.Aincreaseinyieldvolatilitywillincreasethevalueofthecalloptionand,therefore,decreasethevalueofthecallablebond. 當收益率波動增大時,債券被贖回的可能性增加,因此投資者會面臨更大的再投資風險,所以可贖回債券的價格會降低。