NO.PZ2018123101000104
问题如下：
Steele Ferguson, a senior analyst at Samuel, is reviewing three fixed-rate bonds issued by a local firm, Pro Star, Inc.
A fall in interest rates would most likely result in:
选项：
A.a decrease in the effective duration of Bond #3.
Bond #3 having more upside potential than Bond #2.
a change in the effective convexity of Bond #3 from positive to negative.
解释：
A fall in interest
rates results in a rise in bond values. For a callable bond such as Bond #2,
the upside potential is capped because the issuer is more likely to call the
bond. In contrast, the upside potential for a putable bond such as Bond #3 is
uncapped. Thus, a fall in interest rates would result in a putable bond having
more upside potential than an otherwise identical callable bond. Note that A is
incorrect because the effective duration of a putable bond increases, not
decreases, with a fall in interest rates—the bond is less likely to be put and
thus behaves more like an option-free bond. C is also incorrect because the
effective convexity of a putable bond is always positive. It is the effective
convexity of a callable bond that will change from positive to negative if
interest rates fall and the call option is near the money.
请问怎么理解：当interest rate下降时，callable bond的convexity从正变成负？
