请问 一个CALLABLE OPTION 的 问题 明天要提前去了 在线等答案

horry

price yield curve 里面 callable option 在  yield decrese 的 时候 价格上升比 OPTION FREE BOND 少

请问在 上升的时候 到底 是 和 OPTION FREE 一样  还是 有 不一样 

不一样 又是怎么不同  我 一直 都是认为 YEILD上升的时候 是 一样的

昨天 作 MOCK发现 他 答案 解释 如果YELD上升 CALLABLE 价格 下降 比OPTION FREE少

这个我从没听过~~~  请问 有人有把握帮我确认下么  我 看过NOTES上面 并没有 讲YIELD上升的情况        

Osman

画一下callable bond和option free bond的Yield curve图

当rate小于y'(callable bond的convexity为正)他和普通bond 是不同的 对interest变动不敏感

当当rate大于y'(callable bond的convexity为正)，他和普通bond是一样的

Schweser notes的书的封面就有这个图.......

horry

QUOTE:

以下是引用Osman在2008-12-4 21:57:00的发言：

画一下callable bond和option free bond的Yield curve图

当rate小于y'(callable bond的convexity为正)他和普通bond 是不同的 对interest变动不敏感

当当rate大于y'(callable bond的convexity为正)，他和普通bond是一样的

Schweser notes的书的封面就有这个图.......

我自己的答案也是这样的 那就是MOCK答案错了??

xiaoming_w

callable bond = option free - call option 

in the case of interest increase, the value of the option free bond will decrease, however, the value of the call option will decrease as well. so compared to option-free bond, the decrease of callble bond will decrease less.

0932

楼上说的有道理

借贵地问个问题 大家指点下：

For two mutually exclusive capital projects with normal cash flows, the NPV and IRR methods will most likely produce conflicting rankings when the：

A cost of capital is equal to the crossover rate

B cost of capital is less than the crossover rate

C cost of capital is greater than the crossover rate

D net present value is negative at the crossover rate

[此贴子已经被作者于2008-12-4 23:18:34编辑过]

Osman

QUOTE:

以下是引用0932在2008-12-4 23:09:00的发言：

楼上说的有道理

借贵地问个问题 大家指点下：

For two mutually exclusive capital projects with normal cash flows, the NPV and IRR methods will most likely produce conflicting rankings when the：

A cost of capital is equal to the crossover rate

B cost of capital is less than the crossover rate

C cost of capital is greater than the crossover rate

D net present value is negative at the crossover rate

我认为选C

画一下两个项目的图 应该选NPV高的那个 但是当cost of capital > crossover rate时 会发现NPV低的那个项目的PV高

[此贴子已经被作者于2008-12-4 23:30:44编辑过]

probity

QUOTE:

以下是引用0932在2008-12-4 23:09:00的发言：

楼上说的有道理

借贵地问个问题 大家指点下：

For two mutually exclusive capital projects with normal cash flows, the NPV and IRR methods will most likely produce conflicting rankings when the：

A cost of capital is equal to the crossover rate

B cost of capital is less than the crossover rate

C cost of capital is greater than the crossover rate

D net present value is negative at the crossover rate

选B

因为产生conflict的情况是:

一个project(与另一个project相比)的NPV大,IRR小.

这种情况的发生一定是在crossover point的左边.

画个图就一目了然了。

yuefengqu

B

yuefengqu

如果YELD上升 CALLABLE 价格 下降 比OPTION FREE少

agree

[此贴子已经被作者于2008-12-5 13:56:00编辑过]

weimingosi

QUOTE:

以下是引用0932在2008-12-4 23:09:00的发言：

楼上说的有道理

借贵地问个问题 大家指点下：

For two mutually exclusive capital projects with normal cash flows, the NPV and IRR methods will most likely produce conflicting rankings when the：

A cost of capital is equal to the crossover rate

B cost of capital is less than the crossover rate

C cost of capital is greater than the crossover rate

D net present value is negative at the crossover rate

agree with B