问题如下：
If Smith’s interest rate volatility forecast turns out to be true, which bond in Exhibit 2 is likely to experience the greatest price increase?
选项：
A.Bond 2
B.Bond 3
C.Bond 4
解释：
B is correct.
An increase in interest rate volatility will cause the value of the put and call options embedded in Bond 3 and Bond 4 to increase. Bond 3 (putable) would experience an increase in price because the increased value of the put option increases the bond’s value. In contrast, Bond 4 (callable) will experience a price decrease because the increased value of the call option reduces the callable bond’s value. The price of Bond 2, an out-of-the money convertible, should be minimally affected by changes in interest rate volatility because the decision to exercise is less driven by interest rates and more by changes in the underlying stock price of Alpha Corporation.
- 老师，这个题目用option value去考虑，就不考虑题目前提说的是int 下降了么？
2。我前面有个问题说Int下降的时候，比较哪个债卷价格上涨快，为什么不用考虑Option value去考虑呢？我看每次都是以说callable 价格涨不上去为理由，但是即使不触及callable price, 是不是通过再估值方法， callable也涨不上去呢？看我下面的分析对么？
利率下降， straight bond价格变大。
利率下降，对callable一方有利，所以option价值变大，callable bond price = straight （变大）- option （变大） ，所以callble bond涨价更小。
利率下降，对callable一方有利，所以option价值变大，callable bond price = straight （变大）- option （变小） 所以puttable bond 涨价更多。
