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NO.PZ201602270200002008

问题如下：

8. 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：

decrease.

remain unchanged.

increase.

解释：

C is correct.

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.

其他条件不变的话bond 2已经是会在year 1是in the money会行权的状态，如果yield curve flatten并不会增加行权的nodes数，这样理解对么？那在这个前提下应该如何理解option value increase呢？

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WallE_品职答疑助手 · 2021年05月23日

嗨，努力学习的PZer你好：

打个比方，收益率下降到2%, 得到债券的价格是110. 收益率下降到1%,得到的债券的价格是120. 而如果行权价格为100，那显然后者的价值更高。

回到题目，含权债券的价格与还剩多少nodes可以行权的数量无关，债券价值和利率成反比，利率越低，债券价格越高，行权的价值也就越高。

----------------------------------------------
努力的时光都是限量版，加油！

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NO.PZ201602270200002008问题如下 Samuel Sons is a fixeincome specialty firm thoffers aisory services to investment management companies. On 1 October 20X0, Steele Ferguson, a senior analyst Samuel, is reviewing three fixerate bon issuea locfirm, Pro Star, InThe three bon, whose characteristiare given in Exhibit 1, carry the highest cret rating. The one-year, two-year, anthree-yeprates are 2.250%, 2.750%, an3.100%, respectively. Baseon estimateinterest rate volatility of 10%, Ferguson constructs the binomiinterest rate tree shown in Exhibit 2.On 19 October 20X0, Ferguson analyzes the convertible bonissuePro Stgiven in Exhibit 3. Thy, the market prices of Pro Star’s convertible bonancommon stoare $1,060 an$37.50, respectively8. All else being equal, if the shape of the yielcurve changes from upwarsloping to flattening, the value of the option embeein Bon#2 will most likely:A.crease.B.remain unchangeC.increase.C is correct.Bon#2 is a callable bon anthe value of the embeecall option increases the yielcurve flattens. When the yielcurve is upwarsloping, the one-perioforwarrates on the interest rate tree are high anopportunities for the issuer to call the bonare fewer. When the yielcurve flattens or inverts, many nos on the tree have lower forwarrates, whiincreases the opportunities to call an thus, the value of the embeecall option. 按照期权定价公式，rf下降，c的价格应该下降，为什么这里是上升呢？

2022-08-12 15:08 1 · 回答

remain unchange increase. C is correct. Bon#2 is a callable bon anthe value of the embeecall option increases the yielcurve flattens. When the yielcurve is upwarsloping, the one-perioforwarrates on the interest rate tree are high anopportunities for the issuer to call the bonare fewer. When the yielcurve flattens or inverts, many nos on the tree have lower forwarrates, whiincreases the opportunities to call an thus, the value of the embeecall option. 我是这样考虑的yielcurve从原本的upwar为flatten说明短期利率上升长期利率下降，远期我们不看，只看近期，所以利率上升，Callable option value不变，请问错哪了？

2020-04-03 03:54 1 · 回答

我找到了何老师讲的讲义相关部分，还有另外一个提问的同学的解答，还是不明白为什么flatten会是默认成曲线向下移动同时flatten，而不是曲线整体向上移动同时flatten（比如短期利率上升的多一些，远期利率上升的少一些）？

2018-05-05 23:15 1 · 回答

老师，能否具体以下答案，我不是很明白。

2018-03-14 14:29 2 · 回答

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