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小米 · 2020年02月16日

问一道题:NO.PZ201812020100000704

* 问题详情,请 查看题干

问题如下:

Which yield curve forecast will most likely result in the highest profit for Hirji’s proposed duration-neutral trades?

选项:

A.

Increase in curvature

B.

Decrease in curvature

C.

Parallel downward shift

解释:

A is correct.

The trades are also called a condor and employ four positions, much like a butterfly with an elongated body. Each pair of duration-neutral trades would result in a profit if the yield curve adds curvature. The trades at the short end of the curve (going long the 1-year bond and short the 3-year bond) would profit if that end of the curve gets steeper. In addition, the trades at the long end of the curve (going short the 10-year bond and long the long-term bond) would profit if that end of the curve becomes flatter.

这个策略我没看懂啥意思,为啥short/long 这个符号啥意思

1 个答案

carolllll · 2020年02月17日

同学你好,

 

这个策略是Long 1 year and long term bonds, short 3 year and 10 year bonds。也叫做condor。

 

当increase in curvature的时候,假设mid-term的rate上升,那么中期债券下降,所以应该short可以赚profit,同理,long长期和短期债券。

 

 

希望对你有帮助哦~

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