NO.PZ201812020100000705
问题如下：
Based on Exhibit 2, the amount that Hirji should allocate to the 2-year bond position is closest to:
选项：
A.C$331 million.
B.C$615 million.
C.C$1,492 million
解释：
C is correct.
In order to take duration-neutral positions that will profit from an increase in the curvature of the yield curve, Hirji should structure a condor. This condor structure has the following positions: long the 2-year bonds, short the 5-year bonds, short the 10-year bonds, and long the long-term bonds. Hirji’s allocation to the 2-year bond position is calculated as follows: The C$150 million long-term bonds have a money duration of C$150 × 1,960 = C$294,000
Allocation to 2-year bond = Money duration of long-term bonds/PVBP of 2-year bond
2-year bond position = C$294,000/197 = 1,492.39 or C$1,492 million
老师我感觉这题出的不严谨啊，按理来说是中期的BPV（5年和10年的）=长短期的BPV（2年和长期的），即：2yr's BPV+long-term's BPV=5yr's BPV+10yr's BPV，这样子才对吧，并没有要求5yr's BPV=10yr's BPV和2yr's BPV=long-term's BPV的条件，只要左边翅膀和右边翅膀各自做到duration nuetral再加上上面的那个条件，这个condor的策略就不会出现倾斜的情况，所以这道题啥都没说，就要求2yr的MV，这不是太想当然了啊。。。。
