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moon · 2022年02月10日

问个问题

NO.PZ2021120102000006

问题如下:

An active fund trader seeks to capitalize on an expected steepening of the current upward-sloping yield curve using option-based fixed-income instruments.

Which of the following portfolio positioning strategies best positions her to gain if her interest rate view is realized?

选项:

A.

Sell a 30-year receiver 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 an increase in the slope, or the difference between long-term and short-term yields-to-maturity. An optimal portfolio positioning strategy is one which combines a short duration exposure to long-term bonds and a long duration exposure to short-term bonds.

Portfolio C involves the right (but not the obligation) to purchase a 2-year bond, which will increase in value as short-term yields fall with the right to pay-fixed on a 30-year swap, which increases in value if long-term yields rise. Portfolio A involves the sale of two options. Although they will expire unexercised in a steeper curve environment, the investor’s return is limited to the two option premia. Portfolio B is the opposite of Portfolio C, positioning the investor for a flattening of the yield curve.

想问下这两个理解对吗?

  1. 在同一条向上倾斜收益率曲线,long 长期利率(增加duration)+short 短期利率(降低duration),为什么呢?,长期利率>短期利率,p会↓,不是应该减少这个长期头寸吗=降低长期duration
  2. 如果收益率曲线upward平行移动,那么r↑,p↓,要减少duration
1 个答案
已采纳答案

pzqa015 · 2022年02月10日

嗨,努力学习的PZer你好:


同学你好

首先要明确,收益率曲线有静态和动态之分,静态就是指收益率曲线的形状,包括三种,upward(向上倾斜)、flat(水平)、downward(向下倾斜)。动态是指收益率曲线的变动,包括三种:level改变(各期限同涨同跌,涨跌幅度相近或相同,平行移动)、shift(收益率曲线斜率变化,spread=长期-短期,spread变大,则曲线变steepen,反之,曲线变flatten)、curvature(收益率曲线的曲度变化,长短期下降,中期上涨,则More curvature;长短期上涨,中期下降,则less curvature。

我们的债券投资策略,是基于收益率曲线的动态变化进行的。

如果收益率曲线steepen(假设bear steepen,长短期都上涨,长期上涨幅度超过短期上涨幅度),则由于长期相对于短期利率是上涨的,所以,应该short 长期,long短期。

回到你说的第一个问题:长期利率大于短期利率,只能表明收益率曲线upward,长期利率大于短期利率,不能根据这个来判断long什么,short什么,只能根据收益率曲线预期变化来决定long什么,short什么,如果长期上涨幅度超过短期上涨幅度,则要long 短期,short 长期,如果长期上涨幅度不及短期上涨幅度,则应Long 长期,short 短期。

你说的第二个问题,你的理解是正确的,如果收益率曲线向上平行移动,那么要降低portfolio duration.

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