题目
Assuming no change in the credit risk of a bond, the presence of an embedded put option:
选项
A.reduces the effective duration of the bond.
B.increases the effective duration of the bond.
C.does not change the effective duration of the bond.
答案
A
解析
： A is correct. The presence of an embedded put option reduces the effective duration of the bond, especially when rates are rising. If interest rates are low compared with the coupon rate, the value of the put option is low and the impact of the change in the benchmark yield on the bond’s price is very similar to the impact on the price of a non-putable bond. But when benchmark interest rates rise, the put option becomes more valuable to the investor. The ability to sell the bond at par value limits the price depreciation as rates rise. The presence of an embedded put option reduces the sensitivity of the bond price to changes in the benchmark yield, assuming no change in credit risk. ： 这道题目问的是假设债券的信用风险没有变化，嵌入式看跌期权存在会： A是正确的。嵌入式看跌期权的存在降低了债券的有效久期，特别是当利率上升时。如果与票面利率相比，利率较低，看跌期权的价值较低，基准收益率的变化对债券价格的影响与对不可回售债券价格的影响非常相似。但当基准利率上升时，看跌期权对投资者的价值就更大了。债券按面值出售的能力限制了利率上升时的价格贬值。在信用风险不变的情况下，嵌入看跌期权的存在降低了债券价格对基准收益率变化的敏感性。