请解释

NO.PZ2020021203000091 问题如下 \"The higher interest rates are, the easier it is for a bank to create a principprotectenote.\" Explain this statement. In a principprotectenote, the priof a call option hto greater ththe fferenbetween S anPV(S). interest rates increase, the fferenbecomes greater. Thus, it is easier to create a principprotectenote. 请问如果债券违约，而且PB X，不行权，岂不是保护不了本金了？

NO.PZ2020021203000091 问题如下 \"The higher interest rates are, the easier it is for a bank to create a principprotectenote.\" Explain this statement. In a principprotectenote, the priof a call option hto greater ththe fferenbetween S anPV(S). interest rates increase, the fferenbecomes greater. Thus, it is easier to create a principprotectenote. 老师好，我对于答案这句话有点不太理解 hto greater ththe ff between Favalue anPV。 难道不应该是cost of the call option hto less thff between Favalue anPV of the bon才行吗。为什么答案说greater呢按照老师课堂的例子一个3年起无息债，favalue 10,000 同时long 一个call option 以10,000为stripricecost = 10,000(1+rf)^3+CGain = 10,000+max(st-10,000) =10,000Principis protectewhen10,000(1+ft)^3+C = 10,000C =10,000-10,000(1+rf)^3

NO.PZ2020021203000091问题如下\"The higher interest rates are, the easier it is for a bank to create a principprotectenote.\" Explain this statement.In a principprotectenote, the priof a call option hto greater ththe fferenbetween S anPV(S). interest rates increase, the fferenbecomes greater. Thus, it is easier to create a principprotectenote.老师您好，题目和答案都没看明白，麻烦解答 没看出来是什么考点

看不懂这个英文答案，请指导