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shelly0205 · 2020年11月04日

问一道题:NO.PZ2019103001000041

问题如下:

McLaughlin and Michaela Donaldson, a junior analyst at Delphi, are now discussing how to reposition the portfolio in light of McLaughlin’s expectations about interest rates over the next 12 months. She expects interest rate volatility to be high and the yield curve to experience an increase in the 2s/10s/30s butterfly spread, with the 30-year yield remaining unchanged. Selected yields on the Treasury yield curve, and McLaughlin’s expected changes in yields over the next 12 months, are presented in Exhibit 1.

Donaldson suggests they also consider altering the portfolio’s convexity to enhance expected return given McLaughlin’s interest rate expectations.

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.

不好意思老师还是没有看懂,如果说利率上升,债券价格降低,为啥要买看涨期权呢?增加了convexity但是又额外付出了成本呀

1 个答案
已采纳答案

WallE_品职答疑助手 · 2020年11月05日

同学您好,

在固定收益Buy/Sell convexity这里,我们就把Option当成是Convexity的载体,Buy options就一定是Buy convexity,不论是Call还是Put都成立;

Sell options,就一定是Sell convexity,不论是Call还是Put都成立;

原因是Option有极大的Convexity数据,我们可以通过买卖Option,来调节组合的Convexity数据。

因为题干预测的利率信息是利率波动加大:

She expects interest rate volatility to be high and the yield curve to experience an increase in the 2s/10s/30s butterfly spread, with the 30-year yield remaining unchanged

所以B说的Buy options,就会增加组合的Convexity,于是组合获得“涨多跌少”的优势,策略会增强收益。

为了获得这一涨多跌少的优势,付出一些成本是应该且可以接受的。

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