NO.PZ2021120102000004
问题如下：
An investment manager is considering decreasing portfolio duration versus a benchmark index given her expectations of an upward parallel shift in the yield curve.
If she has a choice between a callable, putable, or option-free bond with otherwise comparable characteristics, the most profitable position would be to:
选项：
A. own
the callable bond.
own the putable bond.
own the option-free bond.
解释：
B is correct. The value of a bond with an embedded option is equal to the sum of the value of an option-free bond plus the value to the embedded option.
With a putable bond, the embedded put option is
owned by the bond investor, who can exercise the
option if yields-to-maturity increase, as in this scenario.
Under A, the embedded call option is owned by
the bond issuer, who is more likely to exercise if
yields-to-maturity decrease (that is, the bond investor is short the call
option).
As for C, the option-free bond underperforms the putable bond given the rise in value of the embedded put option.
putable bond的意思是：在利率上升的时候，买方可以要求发行方提前按照约定的利率归还本息吗？这样买方再重新去外面以更高的利率买bond。
callable bond的意思是，利率下降时，卖方以约定利率提前归还。
