L2-Fixed Income concept Thank, impact, interest, increase

LPoulin133

Can you explain the impact on below when interest rate volativity increase?

1. the value of the embedded short call on the bond
2. the value of the embedded put on the bond
3. the value of the embedded call on the stock
4. the value of the embedded put on the stock
5. the value of the convertable bond

Thank you.

apf薛老师

volatility上升，option的价值都是上升，然后再考虑整个组合的价值 1.putable bond = pure bond + put option, 所以volatility上升，put option价格上升，所以putable bond价格上升 2.同样的道理，callable bond = pure bond - call option，V上升，call option价格上升，所以callable bond价格下降 4&5. 对于stock的option，volatility上升，都会增加他们的价值。