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.
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 bond行权概率增大。所以putable option价格上升，callable option价格下降。所以bond 3 embed option increase, bond 4 embed option decrease.
