问一道题：NO.PZ2018123101000086

NO.PZ2018123101000086 问题如下 Exhibit 1 shows par, spot, anone-yeforwarrates.Bon4 is a fixeRate Bon of Alpha Corporation, with 1.55% annucoupon ancallable pwithout any lockout perio. The bonmaturity is 3 years.Baseon the information above, the value of the embeeoption in Bon4 is closest to: A.nil. B.0.1906. C.0.3343. C is correct.考点考察对含权债券的理解解析债券4是可Callable。其价值为Value of callable bon= value of straight bon– value of call option on bon此，Embeecall option的价值为Value of call option on bon= Value of straight bon– Value of callable bon用Spot rate对该Straight bon行定价为1.55(1.0100)1+1.55(1.012012)2+101.55(1.012515)3=100.8789\frac{1.55}{{(1.0100)}^1}+\frac{1.55}{{(1.012012)}^2}+\frac{101.55}{{(1.012515)}^3}=100.8789(1.0100)11.55​+(1.012012)21.55​+(1.012515)3101.55​=100.8789而Callable bon定价需要使用1-yeforwarrate，将债券的现金流从最后一期开始，依次向前一个节点折现，以判断折现值是否会触发行权价；使用表格中的Forwarrate对Callable bon行定价因此Call option的Value为100.8789-100.5446=0.3343 老师，二叉树求债券时，二叉树的利率都是forwarrate对吗？

NO.PZ2018123101000086 问题如下 Exhibit 1 shows par, spot, anone-yeforwarrates.Bon4 is a fixeRate Bon of Alpha Corporation, with 1.55% annucoupon ancallable pwithout any lockout perio. The bonmaturity is 3 years.Baseon the information above, the value of the embeeoption in Bon4 is closest to: A.nil. B.0.1906. C.0.3343. C is correct.考点考察对含权债券的理解解析债券4是可Callable。其价值为Value of callable bon= value of straight bon– value of call option on bon此，Embeecall option的价值为Value of call option on bon= Value of straight bon– Value of callable bon用Spot rate对该Straight bon行定价为1.55(1.0100)1+1.55(1.012012)2+101.55(1.012515)3=100.8789\frac{1.55}{{(1.0100)}^1}+\frac{1.55}{{(1.012012)}^2}+\frac{101.55}{{(1.012515)}^3}=100.8789(1.0100)11.55​+(1.012012)21.55​+(1.012515)3101.55​=100.8789而Callable bon定价需要使用1-yeforwarrate，将债券的现金流从最后一期开始，依次向前一个节点折现，以判断折现值是否会触发行权价；使用表格中的Forwarrate对Callable bon行定价因此Call option的Value为100.8789-100.5446=0.3343 用forwarrate给含权债券估值是考纲内容吗？对应基础班讲义哪个位置？

NO.PZ2018123101000086 问题如下 Exhibit 1 shows par, spot, anone-yeforwarrates.Bon4 is a fixeRate Bon of Alpha Corporation, with 1.55% annucoupon ancallable pwithout any lockout perio. The bonmaturity is 3 years.Baseon the information above, the value of the embeeoption in Bon4 is closest to: A.nil. B.0.1906. C.0.3343. C is correct.考点考察对含权债券的理解解析债券4是可Callable。其价值为Value of callable bon= value of straight bon– value of call option on bon此，Embeecall option的价值为Value of call option on bon= Value of straight bon– Value of callable bon用Spot rate对该Straight bon行定价为1.55(1.0100)1+1.55(1.012012)2+101.55(1.012515)3=100.8789\frac{1.55}{{(1.0100)}^1}+\frac{1.55}{{(1.012012)}^2}+\frac{101.55}{{(1.012515)}^3}=100.8789(1.0100)11.55​+(1.012012)21.55​+(1.012515)3101.55​=100.8789而Callable bon定价需要使用1-yeforwarrate，将债券的现金流从最后一期开始，依次向前一个节点折现，以判断折现值是否会触发行权价；使用表格中的Forwarrate对Callable bon行定价因此Call option的Value为100.8789-100.5446=0.3343 这什么原理？不用二叉树也能求含权bon格了吗？怎么没印象课上讲过？

NO.PZ2018123101000086问题如下 Exhibit 1 shows par, spot, anone-yeforwarrates.Bon4 is a fixeRate Bon of Alpha Corporation, with 1.55% annucoupon ancallable pwithout any lockout perio. The bonmaturity is 3 years.Baseon the information above, the value of the embeeoption in Bon4 is closest to: A.nil.B.0.1906.C.0.3343.C is correct.考点考察对含权债券的理解解析债券4是可Callable。其价值为Value of callable bon= value of straight bon– value of call option on bon此，Embeecall option的价值为Value of call option on bon= Value of straight bon– Value of callable bon用Spot rate对该Straight bon行定价为1.55(1.0100)1+1.55(1.012012)2+101.55(1.012515)3=100.8789\frac{1.55}{{(1.0100)}^1}+\frac{1.55}{{(1.012012)}^2}+\frac{101.55}{{(1.012515)}^3}=100.8789(1.0100)11.55​+(1.012012)21.55​+(1.012515)3101.55​=100.8789而Callable bon定价需要使用1-yeforwarrate，将债券的现金流从最后一期开始，依次向前一个节点折现，以判断折现值是否会触发行权价；使用表格中的Forwarrate对Callable bon行定价因此Call option的Value为100.8789-100.5446=0.3343老师您好，这里给的三个forwarrate的含义我不太理解。比如第一期折线到0时刻不是应该用spot rate吗？那这里的1%的意义是forwar还是spot呢？谢谢

NO.PZ2018123101000086 问题如下 Exhibit 1 shows par, spot, anone-yeforwarrates.Bon4 is a fixeRate Bon of Alpha Corporation, with 1.55% annucoupon ancallable pwithout any lockout perio. The bonmaturity is 3 years.Baseon the information above, the value of the embeeoption in Bon4 is closest to: A.nil. B.0.1906. C.0.3343. C is correct.考点考察对含权债券的理解解析债券4是可Callable。其价值为Value of callable bon= value of straight bon– value of call option on bon此，Embeecall option的价值为Value of call option on bon= Value of straight bon– Value of callable bon用Spot rate对该Straight bon行定价为1.55(1.0100)1+1.55(1.012012)2+101.55(1.012515)3=100.8789\frac{1.55}{{(1.0100)}^1}+\frac{1.55}{{(1.012012)}^2}+\frac{101.55}{{(1.012515)}^3}=100.8789(1.0100)11.55​+(1.012012)21.55​+(1.012515)3101.55​=100.8789而Callable bon定价需要使用1-yeforwarrate，将债券的现金流从最后一期开始，依次向前一个节点折现，以判断折现值是否会触发行权价；使用表格中的Forwarrate对Callable bon行定价因此Call option的Value为100.8789-100.5446=0.3343 从其他问题的答案我了解了没有给出二叉树就用one-yeforwarrate来计算。可是我的问题是S1*F(1,1)≠ S2^21%*1%≠ 1.2012^2求解答，谢谢老师！