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笑笑和啦啦 · 2022年07月26日

Fixed income 押题班

An analyst manages an active fixed-income fund that is benchmarked to the Bloomberg Barclays US Treasury Index. This index of US government bonds currently has a modified portfolio duration of 7.25 and an average maturity of 8.5 years. The yield curve is upward-sloping and expected to remain unchanged. Which of the following is  the least attractive portfolio positioning strategy in a static curve environment?

A/Purchasing a 10-year zero-coupon bond with a yield of 2% and a price of 82.035

B/Entering a pay-fixed, 30-year USD interest rate swap

C.Purchasing a 20-year Treasury and financing it in the repo market 


老师好,这题的答案选B

但是我选的是A,不知道哪个思路错了,麻烦老师帮忙看下

思路:The yield curve is upward-sloping,则r上升,那么bond price下降。我们需要降低duration。B是pay-fixed,降低D。C中是short bond,进行repo,也是降低duration.所以选A

麻烦老师帮忙看下,谢谢



1 个答案

pzqa015 · 2022年07月26日

嗨,爱思考的PZer你好:


你理解错了

the yield curve is upward sloping意思是收益率曲线向上倾斜,and expected to remain unchanged,意思是收益率曲线预期保持不变,那么此时的策略应该是加杠杆、加久期。Bpay fixed swap降低久期,所以是不适合的策略,所以选择B 。

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