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toffee · 2023年05月22日

是不是有这么个结论

NO.PZ2021120102000006

问题如下:

An active fund trader seeks to capitalize on an expected steepening of the current upward-sloping yield curve using option-based fixed-income instruments.

Which of the following portfolio positioning strategies best positions her to gain if her interest rate view is realized?

选项:

A.

Sell a 30-year receiver swaption and a 2-year bond put option.

B.

Purchase a 30-year receiver swaption and a 2-year bond put option.

C.

Purchase a 30-year payer swaption and a 2-year bond call option.

解释:

C is correct.

A steepening of the yield curve involves an increase in the slope, or the difference between long-term and short-term yields-to-maturity. An optimal portfolio positioning strategy is one which combines a short duration exposure to long-term bonds and a long duration exposure to short-term bonds.

Portfolio C involves the right (but not the obligation) to purchase a 2-year bond, which will increase in value as short-term yields fall with the right to pay-fixed on a 30-year swap, which increases in value if long-term yields rise. Portfolio A involves the sale of two options. Although they will expire unexercised in a steeper curve environment, the investor’s return is limited to the two option premia. Portfolio B is the opposite of Portfolio C, positioning the investor for a flattening of the yield curve.

callable 的 duration是最大的,接下来是 option free bond ,最小的duration是 puttable bond?

怎么觉得哪里怪? 我记得二级讲的 callable 和 puttable 的duration 都小于 option free bond 啊,因为都是会行权 所以 导致比原来不含权的 duration 都小啊

Ailiya · 2023年06月14日

我本来也有和你一样的疑问,后来我看了一下选项,是bond 的call potion 和put option,不是callable bond 和 putable bond.

4 个答案

pzqa31 · 2023年06月15日

嗨,从没放弃的小努力你好:


是的,应该是sell put。

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努力的时光都是限量版,加油!

pzqa31 · 2023年06月15日

嗨,爱思考的PZer你好:


有权卖出和有卖出的权利我个人认为是一个意思,如果同学觉得不对,可以直接看英文解释。

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

toffee · 2023年06月15日

A选项buy 2年期put option,有权卖出债券,这个是您上次给我的解释。但是A选项是sell put?这不是卖权吧?

pzqa31 · 2023年06月14日

嗨,从没放弃的小努力你好:


option本身就是一个权利,可以买也可以卖,并不是有义务买卖。

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就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

toffee · 2023年06月15日

我是说您上次给我的解释,A选项

pzqa31 · 2023年05月23日

嗨,努力学习的PZer你好:


因为本题是要增加短期的duration,降低长期的duration,C选项投资者buy 2年期债券的call option,有权买入债券,A选项buy 2年期put option,有权卖出债券,所以,从增加duration的角度,应该选择有买入债券的权利,故选C。

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努力的时光都是限量版,加油!

toffee · 2023年05月23日

你好像没有回答我的问题

toffee · 2023年06月14日

A选项不是sell put吗?是有义务买,怎么解释的是有权利卖呢?

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