NO.PZ202112010200000703
问题如下：
Which of the following derivatives strategies would best offset the yield curve exposure difference between the active and index portfolios?
选项：
A.Add a pay-fixed 10-year swap
and long 2-year, 5-year, and 30-year bond futures positions to the active
portfolio.
Add a receive-fixed 30-year swap, a pay-fixed 10-year swap, and short positions in 2-year and 5-year bond futures to the active portfolio.
Add a pay-fixed 10-year swap, a short 30-year bond futures, and long 2-year and 5-year bond futures positions to the active portfolio.
解释：
A is correct.
A net positive key rate
duration difference indicates a long duration position relative to the index,
while a net negative duration difference indicates a short position.
Relative to the index,
the active portfolio is “short” in the 2-year,
5-year, and 30-year maturities and “long” the 10-year maturity versus
the index.
The pay-fixed 10-year swap and long 2-year, 5-year, and 30-year bond futures positions best offset these differences.
我的理解是：active portfolio比index更弯曲，所以active的portfolio是应该要short 中期，long 短长期，为了offset，所以现在要long 中期，short短长。老师，请问我的理解哪里有问题呢？
