As you said, it doesn’t really change the point, but I’m here to say it’s not an alternative bond structure, just that the bond happens to be trading at a discount already at the initial conditions. It will trade at a steeper discount as interest rates rise. It would be even less intuitive, but you could also do this analysis with bonds that are trading at a premium (trading at a smaller premium, or even hitting par or switching to a discount, as interest rates rise).
As you said, it doesn’t really change the point, but I’m here to say it’s not an alternative bond structure, just that the bond happens to be trading at a discount already at the initial conditions. It will trade at a steeper discount as interest rates rise. It would be even less intuitive, but you could also do this analysis with bonds that are trading at a premium (trading at a smaller premium, or even hitting par or switching to a discount, as interest rates rise).