标题: 请教关于level2 Note4 Bonds with Embedded Options的一个问题 [打印本页] 作者: nononon 时间: 2016-5-11 18:34 标题: 请教关于level2 Note4 Bonds with Embedded Options的一个问题
Shape of the Yield Curve
The value of an embedded call option increases as interest rates decline. When the yield curve is upward sloping (i.e., normal), the more distant one-period forward rates are higher than the one-period forward rates in the near future. Because a higher interest rate scenario limits the probability of the call option being in the money, the value of a call option will be lower for an upward sloping yield curve. As an upward-sloping yield curve becomes flatter, the call option value increases.
