NO.PZ2021120102000006
问题如下：
An active fund trader seeks to capitalize on anexpected steepening of the current upward-sloping yield curve usingoption-based fixed-income instruments.
Which of the following portfoliopositioning strategies best positions her to gain if her interest rateview is realized?
选项：
A.
Sell a 30-yearreceiver 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 anincrease in the slope, or the differencebetween long-term and short-term yields-to-maturity. An optimal portfoliopositioning strategy is one which combines a short duration exposure tolong-term bonds and a long duration exposure to short-term bonds.
Portfolio C involves the right (but not theobligation) to purchase a 2-year bond, which willincrease in value as short-term yields fall with the right to pay-fixed on a30-year swap, which increases in value if long-term yields rise. Portfolio A involvesthe sale of two options. Although they will expire unexercised in a steepercurve environment, the investor’s return is limited to the two option premia.Portfolio B is the opposite of Portfolio C, positioning the investor for aflattening of the yield curve.
对于A选项的解释我看得不是太明白。sell receive swaption是相当于buy payer swaption吧？这个其实是可以满足降低长期久期的。但是后面那个put也是降低短期久期的，所以不行，应该搞个增加短期久期的？我想请问一下，sell的情况下要不要考虑对方根据利率变动导致价格的变动，究竟会不会行权呢？
