1. 收益率曲线从xiangshang倾斜到逐渐变平再到向下倾斜，这个过程代表收益率在下降，put option距离行权价格越来越远，所以价格下降，这样理解正确吗？
2. 题干上半部分提到采取的措施使利率下降，那么此题中的invert不该是曲线变向上吗？
还是说invert curve都是指downward sloping？
问题如下图：
选项：
A. 
B. 
C. 
解释：
发亮_品职助教 · 2018年05月01日
最直接地，长期yield下跌，所以对应这个3年债券价格上涨。
题目预测的是未来半年内yield会出现downward，所以假设3个月过去了，出现了downward，原债券变成了2.7年的债券，对应的2.7年的yield下跌，意味着这个债券价格上升，才使得他的持有至到期收益率下跌。
yield curve和interest rate联系非常紧密，所以有时候经常两个会经常混用，表示一个意思，我们知道如果是Zero coupon bond的yield curve他就最精确的反映了spot rate。
所以你也可以认为downward是长期利率下跌，所以债券价格上升，因为面值的折现占主导影响。
对于putable bond，债券持有人，买了一个bond，同时买了一个put option on bond（只不过这个option是embedded），只有债券价格下跌过行权价时，投资者才会行使put option，债券价格下跌靠近行权价时put option的价值逐渐增加。
对于callable bond，债券持有人，买了一个bond，但是卖了一个Call option on bond给了发行人（只不过这个Option是embedded option），所以只有债券价格上涨过行权价时，发行人才会行使call option，债券价格上升靠近行权价时，call option的价值逐渐增加。
最常见的利率就是upward sloping，所以一般出现inverted yield curve是指downward sloping；本题的Exhibit 1里面给了现在的一些利率是upward的，所以进一步验证他这个inverted是downward。
NO.PZ201712110200000306 问题如下 John Smith, investment aiser, meets with Lya Carter to scuss her penng retirement anpotentichanges to her investment portfolio. mestic economic activity hbeen weakening recently, anSmith’s outlook is thequity market values will lower ring the next year. He woullike Carter to consir recing her equity exposure in favor of aing more fixeincome securities to the portfolio.Government yiel have remainelow for extenperio anSmith suggests consiring investment-gra corporate bon to provi aitionyielabove government issues. In light of recent poor employment figures antwo consecutive quarters of negative G growth, the consensus forecast among economists is ththe centrbank, its next meeting this month, will take actions thwill leto lower interest rates.Smith anCarter review par, spot, anone-yeforwarrates (Exhibit 1) anfour fixerate investment-gra bon issueAlpha Corporation whiare being consirefor investment (Exhibit 2).Exhibit 1.₤Par, Spot, anOne-YeForwarRates (annucoupon payments)Exhibit 2.₤SelecteFixeRate Bon of Alpha CorporationNote: All bon in Exhibit 2 have remaining maturities of exactly three yearsCarter tells Smith ththe locnews mea have been reporting thhousing starts, exports, anmanfor consumer cret are all relatively strong, even in light of other poor macroeconomic incators. Smith explains ththe vergenin economic ta lea him to believe thvolatility in interest rates will increase. Smith also states thhe recently rea report issueBrown anCompany forecasting ththe yielcurve coulinvert within the next six months.Smith velops a binomiinterest rate tree with a 15% interest rate volatility assumption to assess the value of Alpha Corporation’s bon. Exhibit 3 presents the interest rate tree.Exhibit 3.₤BinomiInterest Rate Tree for Alpha Corporation 15% Interest Rate VolatilityCarter asks Smith about the possibility of analyzing bon thhave lower cret ratings ththe investment-gra Alpha bon. Smith scusses four other corporate bon with Carter. Exhibit 4 presents selecteta on the four bon.Exhibit 4.₤SelecteInformation on FixeRate Bon for BetGammltanRho CorporationsNotes: All bon have remaining maturities of three years. Ostan for option-austesprea If the Brown anCompany forecast comes true, whiof the following is most likely to occur? The value of the embeeoption in: A.Bon3 creases. B.Bon4 creases. C.both Bon3 anBon4 increases. A is correct. All else being equal, the value of a put option creases the yielcurve moves from being upwarsloping to flto wnwarsloping (inverte. Alternatively, a call option’s value increases the yielcurve flattens anincreases further if the yielcurve inverts. Therefore, if the yielcurve became inverte the value of the embeeoption in Bon3 (putable) woulcrease anthe value of the embeeoption in Bon4 (Callable) woulincrease. Smith explains ththe vergenin economic ta lea him to believe thvolatility in interest rates will increase.因为volatility上升，所以Option Value上升，选了C，lea him to believe我觉得就是他的预测呀
NO.PZ201712110200000306 问题如下 If the Brown anCompany forecast comes true, whiof the following is most likely to occur? The value of the embeeoption in: A.Bon3 creases. B.Bon4 creases. C.both Bon3 anBon4 increases. A is correct. All else being equal, the value of a put option creases the yielcurve moves from being upwarsloping to flto wnwarsloping (inverte. Alternatively, a call option’s value increases the yielcurve flattens anincreases further if the yielcurve inverts. Therefore, if the yielcurve became inverte the value of the embeeoption in Bon3 (putable) woulcrease anthe value of the embeeoption in Bon4 (Callable) woulincrease. 这个题我的理解是由于长期利率比较稳定，所以是短期利率相对于长期利率上升才会导致曲线倒挂。短期利率上升，putable bon权概率增大。所以putable option价格上升，callable option价格下降。所以bon3 embeoption increase, bon4 embeoption crease.
NO.PZ201712110200000306 问题如下 If the Brown anCompany forecast comes true, whiof the following is most likely to occur? The value of the embeeoption in: A.Bon3 creases. B.Bon4 creases. C.both Bon3 anBon4 increases. A is correct. All else being equal, the value of a put option creases the yielcurve moves from being upwarsloping to flto wnwarsloping (inverte. Alternatively, a call option’s value increases the yielcurve flattens anincreases further if the yielcurve inverts. Therefore, if the yielcurve became inverte the value of the embeeoption in Bon3 (putable) woulcrease anthe value of the embeeoption in Bon4 (Callable) woulincrease. 如果利率升高，债券价格会低，这个时候put option会更值钱；如果利率降低，债券价格会上升，这个时候call option更值钱。但是利率反转是从高到低，这个是从表1中推导出来的是吧，就是因为表1中的利率是一直在上升，后来因为invert，才会下降。
NO.PZ201712110200000306 问题如下 If the Brown anCompany forecast comes true, whiof the following is most likely to occur? The value of the embeeoption in: A.Bon3 creases. B.Bon4 creases. C.both Bon3 anBon4 increases. A is correct. All else being equal, the value of a put option creases the yielcurve moves from being upwarsloping to flto wnwarsloping (inverte. Alternatively, a call option’s value increases the yielcurve flattens anincreases further if the yielcurve inverts. Therefore, if the yielcurve became inverte the value of the embeeoption in Bon3 (putable) woulcrease anthe value of the embeeoption in Bon4 (Callable) woulincrease. 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？
NO.PZ201712110200000306 利率升高，Put option更值钱更有价值，难道不对吗？
