NO.PZ202112010200000103
问题如下：
A Sydney-based fixed-income portfolio manager is considering the following Commonwealth of Australia government bonds traded on the ASX (Australian Stock Exchange):
The manager is
considering portfolio strategies based upon various interest rate scenarios
over the next 12 months. She is considering three long-only government
bond portfolio
alternatives, as follows:
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.
2-year pay-fixed AUD swap with twice the money duration as the 2-year government bond in the barbell portfolio.
知道要 2-year pay-fixed，后半句不是特别理解，是用 2-year government bond in the barbell portfolio 构建的意思吗？可否详细讲一下
