NO.PZ202112010200000103
问题如下：
Assume the manager is able to extend her mandate by adding derivatives strategies to the three portfolio alternatives.
The best way to position her portfolio to benefit from a bear flattening scenario is to combine a:
选项：
A.2-year receive-fixed Australian dollar (AUD)
swap with the same
money duration
as the bullet portfolio.
2-year pay-fixed AUD swap with twice the money duration as the 2-year government bond in the barbell portfolio.
9-year receive-fixed AUD swap with twice the money duration as the 9-year government bond position in the equally weighted portfolio.
解释：
B is correct. A bear flattening scenario is a decrease in the yield spread between long- and short-term maturities driven by higher short-term rates. The manager must therefore position her portfolio to benefit from rising short-term yields.
Under A, the
receive-fixed 2-year swap is a synthetic long position, increasing portfolio
duration that will result in an MTM loss under bear flattening. The
receive-fixed swap in
answer C will increase duration in long-term maturities.
In the case of B, the
pay-fixed swap with twice the money duration of the barbell will more than
offset the existing long position, resulting in net short 2-year and long 9-year bond
positions in the overall portfolio and a gain under bear flattening.
老师我看到有解答是下面这样的表述，但我想追问，为何Bear代表收益率曲线整体向上倾斜，所以，应该降低Portfolio duration？Bear Flattening表示收益率曲线已经flatten了，为何还重点放在yield curve期初的状态“向上倾斜”呢？那如果是Bull Flattening, 收益率曲线整体还是向上倾斜吗？我理解的是题目未明确指出的前提下，收益率曲线都是默认向上倾斜的
“题目是bear flatten，应该是short ST+long LT
但Bear代表收益率曲线整体向上倾斜，所以，应该降低Portfolio duration，这样获利更多。
B选项，在现有barbell中，增加2年pay fixed 头寸，且该部分头寸的money duration是现有2年期money duration的2倍，结果是降低了portfolio duration。
C选项，在现有equally中，增加9年期receive fixed头寸，且该部分头寸的money duration现有9年期的2倍，结果是增加了portfolio duration。
所以只能选B。”
