NO.PZ2021120102000006
问题如下：
An active fund trader seeks to capitalize on anexpected steepening of the current upward-sloping yield curve usingoption-based fixed-income instruments.
Which of the following portfoliopositioning strategies best positions her to gain if her interest rateview is realized?
选项：
A. Sell a 30-yearreceiver swaption and a 2-year bond put option.
B. Purchase a 30-year receiver swaption and a 2-year bond put option.
C. Purchase a 30-year payer swaption and a 2-year bond call option.
解释：
C is correct.
A steepening of the yield curve involves anincrease in the slope, or the differencebetween long-term and short-term yields-to-maturity. An optimal portfoliopositioning strategy is one which combines a short duration exposure tolong-term bonds and a long duration exposure to short-term bonds.
Portfolio C involves the right (but not theobligation) to purchase a 2-year bond, which willincrease in value as short-term yields fall with the right to pay-fixed on a30-year swap, which increases in value if long-term yields rise. Portfolio A involvesthe sale of two options. Although they will expire unexercised in a steepercurve environment, the investor’s return is limited to the two option premia.Portfolio B is the opposite of Portfolio C, positioning the investor for aflattening of the yield curve.
不明白为什么选这个答案
