NO.PZ202112010200000703
问题如下：
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.
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.
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.
如果差值为负数，就要buy，差值为正数，就是sell，其实我还是没太理解题干的意思。
