利率升高，Put option更值钱更有价值，难道不对吗？

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？