问题
单项选择题
An analyst does research about bond yield and gathers the following information about the call structure for a 7 percent coupon bond that pays interest semiannually and matures in ten years:
·not callable for the next 5 years
·first callable at beginning of year 6 (end of the fifth year) at $102
·first par call date at beginning of year 8 (end of the seventh year) at $100 If the bond is correctly priced at $102.75, the bond's yield to first call is closest to:（）
A. 3.34%
B. 6.35%
C. 6.68%
答案
参考答案：C
解析：
用计算器计算，N=10，PV=-$102.75，PMT=$100×7%/2=3.5，FV=$102，求得I/Y=3.34%，第一次行看涨权的收益率为：3.34%×2=6.68%。