问题如下：
Given McLaughlin’s interest rate expectations over the next 12 months, one way that Donaldson and McLaughlin could alter convexity to enhance expected return would be to:
选项：
A. sell call options on bonds held in the portfolio.
B. buy call options on long-maturity government bond futures.
C. sell put options on bonds they would be willing to own in the portfolio.
解释：
B is correct.
McLaughlin expects interest rate volatility to be high and the yield curve to experience an increase in the butterfly spread, with the 30-year yield remaining unchanged. To increase the portfolio’s expected return, Donaldson and McLaughlin should buy call options on long-maturity government bond futures to increase convexity.
老师，这道题换个角度想就不是很理解。 现在预期三十年的收益率不变，那么如果我买个long-term的call，意义在哪里？还多花了一个期权费。 另外如果把long-term理解为十年期的也不对，十年期利率预期是要上涨的，bond价格下降，我的call没有行权的预期。 从convexity的角度可以套用结论，但是从收益角度有些想不通
