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* 问题详情，请查看题干

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：

C$331 million.

C$615 million.

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

还是不太理解这里为什么两年期的D和30年的相等？

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pzqa015 · 2021年08月28日

嗨，从没放弃的小努力你好：

同学你好

表2给了4个头寸，且题干说expect changes in the curvature of the yield curve，position must be duration neutral，说明我们需要用到condor的策略。也就是long 2Y,short 5Y、short10Y,long long term或者short 2Y,long 5Y,long 10Y,short long term。

原则上，condor策略的duation neutral要求两个翅膀duration neutral，即2Y与5Yneutral，10Y与long term neutral，但实务中，一般是让四个头寸都duration neutral，否则，翅膀是不平衡的。

本题根据Long term bond的MV来求2Y bond的MV，也相当于是默认了四个头寸的duration相等（否则无法求解），所以根据MV*MD来计算不同头寸的MV。

但同学注意这道题的答案解析里面150*1960是不正确的哈，应该是150*19.6/1.97=1492.39million。

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C$615 million. C$1,492 million C is correct. In orr to take ration-neutrpositions thwill profit from increase in the curvature of the yielcurve, Hirji shoulstructure a conr. This conr structure hthe following positions: long the 2-yebon, short the 5-yebon, short the 10-yebon, anlong the long-term bon. Hirji’s allocation to the 2-yebonposition is calculatefollows: The C$150 million long-term bon have a money ration of C$150 × 1,960 = C$294,000 Allocation to 2-yebon= Money ration of long-term bon/PVof 2-yebon2-yebonposition = C$294,000/197 = 1,492.39 or C$1,492 million 老师您好，既然左边翅膀和右边翅膀不一定相等……怎么能用左边的长期直接算右边的2年的？

2021-05-12 19:41 1 · 回答

NO.PZ201812020100000705 C$615 million. C$1,492 million C is correct. In orr to take ration-neutrpositions thwill profit from increase in the curvature of the yielcurve, Hirji shoulstructure a conr. This conr structure hthe following positions: long the 2-yebon, short the 5-yebon, short the 10-yebon, anlong the long-term bon. Hirji’s allocation to the 2-yebonposition is calculatefollows: The C$150 million long-term bon have a money ration of C$150 × 1,960 = C$294,000 Allocation to 2-yebon= Money ration of long-term bon/PVof 2-yebon2-yebonposition = C$294,000/197 = 1,492.39 or C$1,492 million 我看了你们的回答是 money = mv 乘以 mofie为什么答案里用pvbp？这个1bp的区别要紧吗？mofieration和pvbp是什么公式啊？谢谢

2021-04-15 12:09 2 · 回答

NO.PZ201812020100000705

2021-04-02 16:01 1 · 回答

本题为何should structure a condor？

2021-01-21 14:26 1 · 回答

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