NO.PZ201712110200000306
问题如下:
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.
All else being equal, the value of a put option decreases as the yield curve moves from being upward sloping to flat to downward sloping (inverted). Alternatively, a call option’s value increases as the yield curve flattens and increases further if the yield curve inverts. Therefore, if the yield curve became inverted, the value of the embedded option in Bond 3 (putable) would decrease and the value of the embedded option in Bond 4 (Callable) would increase.
老师,前面的段落中提到预测利率会下降,那现在invert curve,利率不是应该上升才对吗?