问题如下：
Smith and Carter review par, spot, and one-year forward rates (Exhibit 1) and four fixed-rate investment-grade bonds issued by Alpha Corporation which are being considered for investment (Exhibit 2).
Note: All bonds in Exhibit 2 have remaining maturities of exactly three years
Smith also states that he recently read a report issued by Brown and Company forecasting that the yield curve could invert within the next six months.
If the Brown and Company forecast comes true, which of the following is most likely to occur? The value of the embedded option in:
选项：
A. Bond 3 decreases.
B. Bond 4 decreases.
C. both Bond 3 and Bond 4 increases.
解释：
A is correct.
考点：考察利率变动对含权债券的影响
解析：
题干预测的是未来收益率曲线倒挂 ， 即短期收益率高于长期收益率 。 收益率曲线由当前的Normal状态 （ 短期低于长期 ） 变为Inverted状态 （ 短期高于长期 ） 。 对于一个倒挂的收益率曲线 ， 其forward rate是向下倾斜的 ， 即Forward rate是逐渐降低的 ； 在这种情况下 ， 会增加Callable bond中Call option的价值 ， 因为发行人非常有可能在利率下跌的情况下提前赎回Callable bond 。 因此Bond 4 （ Callable ） 的Embedded option价值增加 。 在利率降低的情况下 ， Putable bond不会被行权 ， 因此Bond 3(Putable bond)的Embedded option价值降低 。 因此选择A 。
Callable at par without any lockout period与 callable at par at one year and two year什么不同？lockout period 具体指什么？可以在什么时候callable？谢谢老师