NO.PZ2023032703000060
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.
Purchase a 30-year receiver swaption and a 2-year bond put option.
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.
long bond call option 和long bond put option 是不是都会增加duration ? option只是权利，对duration 是不是没有影响？
