NO.PZ201812020100000704
问题如下：
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.
选项C错在哪里？选项A为什么比选项C好？
