NO.PZ201602270200002008
问题如下：
8. All else being equal, if the shape of the yield curve changes from upward sloping to flattening, the value of the option embedded in Bond #2 will most likely:
选项：
A. decrease.
B. remain unchanged.
C. increase.
解释：
C is correct.
Bond #2 is a callable bond, and the value of the embedded call option increases as the yield curve flattens. When the yield curve is upward sloping, the one-period forward rates on the interest rate tree are high and opportunities for the issuer to call the bond are fewer. When the yield curve flattens or inverts, many nodes on the tree have lower forward rates, which increases the opportunities to call and, thus, the value of the embedded call option.
其他条件不变的话bond 2已经是会在year 1是in the money会行权的状态，如果yield curve flatten并不会增加行权的nodes数，这样理解对么？那在这个前提下应该如何理解option value increase呢？