问题如下图：
选项：
A. 
B. 
C. 
解释：
老师，能否具体解释以下答案，我不是很明白。
李宗_品职助教 · 2018年03月16日
R37里的结论。答案的意思是，当收益率曲线上的点可以看成近期的利率和未来利率forward rate的关系，当向上倾斜意味着今后利率是上涨的，利率上涨就会使call option otm。题目中说这个上斜曲线发生flatten，就意味着forward rate 变小，那么call value就会变大。
这个知识点在R37 callable bond and putable bond: Effect of Changes in The Level and Shape of The Yield Curve 视频中何老师有明确的说明，2倍速11：22的位置。
ww · 2023年05月01日
Vcallable bond=Vstraight-Vcall，如果Vcall变大，那么Vcallable bond应该变小才是。没有理解。
NO.PZ201602270200002008 问题如下 8. All else being equal, if the shape of the yielcurve changes from upwarsloping to flattening, the value of the option embeein Bon#2 will most likely: A.crease. B.remain unchange C.increase. C is correct.Bon#2 is a callable bon anthe value of the embeecall option increases the yielcurve flattens. When the yielcurve is upwarsloping, the one-perioforwarrates on the interest rate tree are high anopportunities for the issuer to call the bonare fewer. When the yielcurve flattens or inverts, many nos on the tree have lower forwarrates, whiincreases the opportunities to call an thus, the value of the embeecall option. 那为什么不是bon值下降，被call回去可能降低，所以call option value下降
NO.PZ201602270200002008问题如下 Samuel Sons is a fixeincome specialty firm thoffers aisory services to investment management companies. On 1 October 20X0, Steele Ferguson, a senior analyst Samuel, is reviewing three fixerate bon issuea locfirm, Pro Star, InThe three bon, whose characteristiare given in Exhibit 1, carry the highest cret rating. The one-year, two-year, anthree-yeprates are 2.250%, 2.750%, an3.100%, respectively. Baseon estimateinterest rate volatility of 10%, Ferguson constructs the binomiinterest rate tree shown in Exhibit 2.On 19 October 20X0, Ferguson analyzes the convertible bonissuePro Stgiven in Exhibit 3. Thy, the market prices of Pro Star’s convertible bonancommon stoare $1,060 an$37.50, respectively8. All else being equal, if the shape of the yielcurve changes from upwarsloping to flattening, the value of the option embeein Bon#2 will most likely:A.crease.B.remain unchangeC.increase.C is correct.Bon#2 is a callable bon anthe value of the embeecall option increases the yielcurve flattens. When the yielcurve is upwarsloping, the one-perioforwarrates on the interest rate tree are high anopportunities for the issuer to call the bonare fewer. When the yielcurve flattens or inverts, many nos on the tree have lower forwarrates, whiincreases the opportunities to call an thus, the value of the embeecall option. 按照期权定价公式，rf下降，c的价格应该下降，为什么这里是上升呢？
NO.PZ201602270200002008 remain unchange increase. C is correct. Bon#2 is a callable bon anthe value of the embeecall option increases the yielcurve flattens. When the yielcurve is upwarsloping, the one-perioforwarrates on the interest rate tree are high anopportunities for the issuer to call the bonare fewer. When the yielcurve flattens or inverts, many nos on the tree have lower forwarrates, whiincreases the opportunities to call an thus, the value of the embeecall option. 其他条件不变的话bon2已经是会在ye1是in the money会行权的状态，如果yielcurve flatten并不会增加行权的nos数，这样理解对么？那在这个前提下应该如何理解option value increase呢？
remain unchange increase. C is correct. Bon#2 is a callable bon anthe value of the embeecall option increases the yielcurve flattens. When the yielcurve is upwarsloping, the one-perioforwarrates on the interest rate tree are high anopportunities for the issuer to call the bonare fewer. When the yielcurve flattens or inverts, many nos on the tree have lower forwarrates, whiincreases the opportunities to call an thus, the value of the embeecall option. 我是这样考虑的yielcurve从原本的upwar为flatten说明短期利率上升长期利率下降，远期我们不看，只看近期，所以利率上升，Callable option value不变，请问错哪了？
我找到了何老师讲的讲义相关部分，还有另外一个提问的同学的解答，还是不明白为什么flatten会是默认成曲线向下移动同时flatten，而不是曲线整体向上移动同时flatten（比如短期利率上升的多一些，远期利率上升的少一些）？