# Impact of the interest rate volatility in the valuation of a bond

I am currently valuating a bond whose cupons have the following structure:

$\left\{ \begin{array}{rcl} H_j-2\% & \mbox{if} & R_j<H_j-2\% \\ R_j & \mbox{if} & H_j-2\%\leq R_j\leq H_j+2\% \\ H_j+2\% & \mbox{if} & R_j>H_j+2\% \end{array}\right\}$

where $R_j$ is the rate for a given period and $H_j$ is the forward rate today for the same period.

I have valuated it destructuring each cupon into a fix payment of $H_j-2\%$, a long position on a caplet with strike $H_j-2\%$ and a short position in a caplet with strike $H_j+2\%$. Now I am shifting the volatility curve upwards and downwards to analyze its impact on the value of the bond. When I move the volatility upwards the value of the bond decreases and when I shift it downwards the value increases. I have spent some time thinking about the cause of this result but I cannot realize why is it. I have tried reasoning based on the vega of each caplet but since the forward rate is always equally distant from the strike of both caplets I see it as a dead end path.Could somebody give me a hint?