NO.PZ202304070100007402
问题如下：
All else being equal, if the shape of the yield curve changes from upward sloping to flattening, the value of the option embedded in Bond #2 will most likely:
选项：
A.
decrease.
B.
remain unchanged.
C.
increase.
解释：
Correct Answer: C
Bond #2 is a callable bond, and the value of the embedded call option increases as the yield curve flattens. When the yield curve is upward sloping, the one-period forward rates on the interest rate tree are high and opportunities for the issuer to call the bond are fewer. When the yield curve flattens or inverts, many nodes on the tree have lower forward rates, which increases the opportunities to call and, thus, the value of the embedded call option.
利率下降，行权的可能性增加，所以call value增加。但是这个题的点不是说yield curve变平，所以价格的变动减少，因此call value和deep curve时比起来会下降啊？