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Which of the following statements is/are correct regarding the pricing of fixed-income securities?

I. The put price serves as the floor value for a puttable bond when interest rates rise.

II. The more frequent the time steps used for projected fixed-income security values, the more accurate the pricing.

III. The Black-Scholes-Merton model is preferred for the pricing of fixed income securities because of its continuous time assumption.

A) II only

B) I and II only

C) I and III only

D) I, II, and III

答案：B掃描二維碼，添加老師微信了解詳情

解析：Aputtable bond allows the bond to be put back to the issuer at a set price when interest rates rise, so statement I is correct. The more frequent the time intervals used for projected fixed-income security values, the more accurate the pricing, so statement II is correct.

However, the Black-Scholes-Merton model is not appropriate for the pricing of fixed-income securities because: (1) it assumes that there is no upper limit to the security’s price; (2) it assumes that interest rates are constant; and it assumes that price volatility is constant. Thus, Statement III is incorrect.【資料下載】FRM一級(jí)思維導(dǎo)圖PDF版

Amarket risk manager seeks to calculate the price of a two-year zero-coupon bond. The one-year interest rate today is 10.0%. There is a 50% probability that the interest rate will be 12.0% and a 50% probability that it will be 8.0% in one year.Assuming that the risk premium of duration risk is 50 basis points each year,and that the face value is EUR 1000, which of the following should be the price of the zero-coupon bond?

A) EUR 822.98

B) EUR 826.44

C) EUR 826.72

D) EUR 921.66

答案：A

解析：V(2yr zero)=(50%(1/1.125+1/1.085)/1.10)*EUR 1000=EUR 822.976

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