An analyst manages an active fixed-income fund that is benchmarked to the Bloomberg Barclays US Treasury Index. This index of US government bonds currently has a modified portfolio duration of 7.25 and an average maturity of 8.5 years. The yield curve is upward-sloping and expected to remain unchanged. Which of the following is the least attractive portfolio positioning strategy in a static curve environment?
A/Purchasing a 10-year zero-coupon bond with a yield of 2% and a price of 82.035
B/Entering a pay-fixed, 30-year USD interest rate swap
C.Purchasing a 20-year Treasury and financing it in the repo market
老师好，这题的答案选B
但是我选的是A，不知道哪个思路错了，麻烦老师帮忙看下
思路：The yield curve is upward-sloping，则r上升，那么bond price下降。我们需要降低duration。B是pay-fixed，降低D。C中是short bond,进行repo，也是降低duration.所以选A
麻烦老师帮忙看下，谢谢
