Effective Duration

At relatively high yield curve levels, which of the following bonds, all with similar features, would have the highest effective duration?

Yes! A straight bond will always have the highest duration of these three. A callable and putable bond with identical features could have close to the same duration if they were far out of the money, but their durations will be lower. Note that this is not specific to the yield curve being at high levels. That just means that the callable bond is probably closer to the straight bond in terms of price and duration than the putable bond is.

No. Consider that the putable bond is likely to be put with high interest rate levels. This means that the duration on the putable bond is likely to be the lowest of these three, not the highest.

Not quite. With a high yield curve, the duration of the callable bond will be longer than at low levels. But it still won't be the highest measure of the three.

A straight bond

A putable bond

A callable bond