NO.PZ2018120301000040
问题如下：
Li, a fixed-income analyst in a wealth management firm, anticipates that the curvature of the yield curve will increase over the next 6-month. Based on this expectation, Li wants to build a duration-neutral condor strategy by using the US government bond. The maximum position the portfolio can take on the 30-year bond is $200 million. The relevant information for the condor strategy is shown below:
According to the information above, the amount that Li should allocate to the 10-year bond is:
选项：
A. $483.77 million
B. $48377 million
C. $2.41million
解释：
A is correct.
考点：考察Condor策略
解析：题干已知Li预测收益率曲线的曲度会增加，并且Li需要采取的是Condor策略。在曲度增加时，应该short中期债券，long长、短两端债券。已知Li要构建的是Duration-neutral的Condor策略，并且在30年期最大头寸是$200million。已知30年期债券的PVBP是2310 per million。因此30年期的long头寸增加的Duration为：
200 × 2310 = 462,000
因此10年期债券最多可以Short: 462,000 / 955 = 483.77 million
我用MV*duration*1bp算出来和pvbp一样
