NO.PZ2020021203000091
问题如下：
"The higher interest rates are, the easier it is for a bank to create a principal protected note." Explain this statement.
选项：
解释：
In a principal protected note, the price of a call option has to be greater than the difference between S and PV(S). As interest rates increase, the difference becomes greater. Thus, it is easier to create a principal protected note.
老师好，我对于答案这句话有点不太理解 Co has to be greater than the diff between Face value and PV。 难道不应该是cost of the call option has to be less than diff between Face value and PV of the bond 才行吗。为什么答案说greater呢
按照老师课堂的例子
一个3年起无息债，face value 10,000 同时long 一个call option 以10,000为strick price
cost = 10,000(1+rf)^3+C
Gain = 10,000+max(st-10,000)>=10,000
Principal is protected when
10,000(1+ft)^3+C<= 10,000
C<=10,000-10,000(1+rf)^3
