FI - Pg 122 - Bond Call Options - 2nd paragraph

CFA Level III
#1

For interest rate call otions the Delta is positive so the duration is positive for it. It says when the interest rates decline the value of call option will increase.

Why is this? I would think if the duration is positive the value would decrease if interest rates decrease.

Thanks,

#2

Think in terms of the underlying bond - if youre long the call option (or long the underlying bond exposure) then option price increases as interest rates decrease

#3

Gotcha. Thanks. Much appreciated