问题如下图：
选项：
A. 
B. 
C. 
解释：
请问选项b错在哪里？
发亮_品职助教 · 2019年11月26日
嗨，从没放弃的小努力你好：
本题对收益率曲线的预期是Less curvature，也就是中期利率相对下降，长、短期利率相对上升；
题干也说了是5-year to 10-year的收益率曲线降低；
中期利率相对下降，需要Long中期债券，赚取中期债券价格上升Capital gain的部分。
长、短期利率相对上升，所以长、短期债券价格下降，有Capital loss，需要Short长、短期债券，赚取差价。
Scenario 2有4个头寸：1-year, 5-year, 10-year, 30-year，有他来构建Condor策略。
所以Long中期债券，就是Long 5-year, 10-year债券；
Short长短期债券，就是Short 1-year, Short 30-year
然后题干问：Scenario 2的4个头寸，哪个是Short头寸。
A/B/C三个选项里，可以是Short position的只有A选项的1-year。B选项的5-year应该是Long头寸。
-------------------------------就算太阳没有迎着我们而来，我们正在朝着它而去，加油！
NO.PZ2019103001000055 5-ye$71 million 10-ye$38 million A is correct. To profit from a crease in yielcurve curvature, the correconr structure will be: short 1s, long 5s, long 10s, anshort 30s. The positions of the conr will be: short $338 million 1-yebon long $71 million 5-yebon long $38 million 10-yebon anshort $17 million 30-yebon This conr is structureso thit benefits from a cline in curvature, where the mile of the yielcurve creases in yielrelative to the short anlong en of the yielcurve. To termine the positions, we take the maximum allowanof 30-yebon of $17 million antermine money ration. Money ration is equto market value x mofieration vi100. 30-yebonmoney ration = $17 million × 19.69/100 = $3,347,300. The market values of the other positions are: 1-yebon $3,347,300 × 100/0.99 = $338.11 million or $338 million 5-yebon $3,347,300 × 100/4.74 = $70.62 million or $71 million 10-yebon $3,347,300 × 100/8.82 = $37.95 million or $38 million 为啥market ration还要除以100呢？
NO.PZ2019103001000055 whishort position is most likely to incluin the conr outlinein Scenario 2? 只有1年期是short头寸吧？
POSTIVE BUTTERFLY 今年不是改成了 中间下降，两边上升了么，题目是less curve是职这种情况吧，那应该是LONG1&30,SHORT 5&10呀
为什么要除以100？
Money ration is equto market value x mofieration vi100。PVBP是money ration vi10000?