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小锦鲤要加油 · 2021年04月16日

问一道题:NO.PZ2019103001000046 [ CFA III ]

问题如下:

Hirji also proposes the following duration-neutral trades for the French institutional client:

Long/short trade on 1-year and 3-year Canadian government bonds

Short/long trade on 10-year and long-term Canadian government bonds

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.

这道题 long/short trade 1年和3年债券,就是long 1年 short3年的意思?

1 个答案
已采纳答案

发亮_品职助教 · 2021年04月17日

嗨,从没放弃的小努力你好:


这道题 long/short trade 1年和3年债券,就是long 1年 short3年的意思?


对的。Long/Short和后面的期限是一一对应的。


这道题是原版书的课后题,这种语言习惯实际上就是协会的用法,因此考试中也有可能这么说,所以需要了解适应。

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