NO.PZ201812020100000805
问题如下：
Based on Exhibit 1, which short position is most likely to be included in the condor outlined in Scenario 2?
选项：
A. 1-year $338 million
B. 5-year $71 million
C. 10-year $38 million
解释：
A is correct.
To profit from a decrease in yield curve curvature, the correct condor structure will be: short 1s, long 5s, long 10s, and short 30s. The positions of the condor will be: short $338 million 1-year bond, long $71 million 5-year bond, long $38 million 10-year bond, and short $17 million 30-year bond.
This condor is structured so that it benefits from a decline in curvature, where the middle of the yield curve decreases in yield relative to the short and long ends of the yield curve.
To determine the positions, we take the maximum allowance of 30-year bonds of $17 million and determine money
duration. Money duration is equal to market value x modified duration divided by 100. 30-year bond money duration = $17 million × 19.69/100 = $3,347,300. The market values of the other positions are:
1-year bond: $3,347,300 × 100/0.99 = $338.11 million or $338 million
5-year bond: $3,347,300 × 100/4.74 = $70.62 million or $71 million
10-year bond: $3,347,300 × 100/8.82 = $37.95 million or $38 million
题目已经说了是less curvature，所以就是一个向下的condor，30年期的是short头寸，与之对应只可能是short1年期，这样思考对吗？