二级经典题fixed income 12.4题 利率上升,callable bond不提前行权,为什么duration也会上升?
答案里面说as interest rates rise, a call option moves out of the money, which increases the value of the callable bond and lengthens its effective duration. 利率上升为什么call option变成out of the money?为什么callable bond价格会上升,从图形看不是利率上升callable bond债券下降吗?