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.
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.
请老师判断下我的理解，
题干理解：收益率曲线变陡峭的含义： 短期利率下降或保持稳定，长期利率上升，因此
当预期短期利率下降时，短期债券（例如 2 年期债券）的价格会上升，先决定最优策略是增加短期债券的多头头寸（Long Position），因为价格上升会带来资本收益。
用 Call Option 的原因：初始成本较低，可以用更少的资金获得债券价格上涨的收益。