NO.PZ202303270300006203
问题如下：
(3) Which of the following derivatives strategies would best offset the yield curve exposure difference between the active and index portfolios?
选项：
A.
Add a pay-fixed 10-year swap and long 2-year, 5-year, and 30-year bond futures positions to the active portfolio.
B.
Add a receive-fixed 30-year swap, a pay-fixed 10-year swap, and short positions in 2-year and 5-year bond futures to the active portfolio.
C.
Add a pay-fixed 10-year swap, a short 30-year bond futures, and long 2-year and 5-year bond futures positions to the active portfolio.
解释：
A is correct. A net positive key rate duration difference indicates a long duration position relative to the index, while a net negative duration difference indicates a short position. Relative to the index, the active portfolio is “short” in the 2-year, 5-year, and 30-year maturities and “long” the 10-year maturity versus the index. The pay-fixed 10-year swap and long 2-year, 5-year, and 30-year bond futures positions best offset these differences.
老师好，请问positive butterfly是变得更直，也就是curvature变小，negative butterflt就是变得更弯，curvature变得更大对吗？
