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李一然 · 2022年08月24日

请问两年期和十年期的债券怎么做duration neutral?

NO.PZ2021120102000009

问题如下:

An active investor enters a duration-neutral yield curveflattening trade that combines 2-year and 10-year Treasury positions. Underwhich of the following yield curve scenarios would you expect the investor torealize the greatest portfolio gain?

选项:

A.

Bear flattening

B.

bull flattening

C.

Yield curve inversion

解释:

C is correct. A duration-neutral flattening trade involves a short2-year bond position and a long 10-year bond position, which have a “matched”duration or portfolio duration of zero. This portfolio will realize a gain ifthe slope of the yield curve—that is, the difference between short-term andlong-term yields— declines.

Yield curve inversion is an extreme version offlattening in which the spread between long-term and short-termyields-to-maturity falls below zero.

The bear steepening in A involves an unchanged 2-year yield-to-maturitywith a rise in the 10-year yield-to-maturity, causing a portfolio loss.

The bull flattening in B combines a constant 2-yearyield-to-maturity with lower 10-year rates, resulting in a gain on the 10-yearbond position and an unchanged 2-year bond position.

请问两年期和十年期的债券怎么做duration neutral?

1 个答案
已采纳答案

李坏_品职助教 · 2022年08月24日

嗨,努力学习的PZer你好:


这是一个duration neutral 的策略,并且是flattening, 也就是在收益率曲线变平坦的时候会赚钱,在曲线形态逆转的时候利润最大。

这种策略要同时做空一定的短期债券,做多长期债券。因为它想在利率曲线变平坦赚钱,也就是在短期利率上升、长期利率下降的时候赚钱,所以对应的仓位应该是2年期债券的空头+10年期债券的多头。最终要实现portfolio duration = 0,不受利率曲线paralell shift的影响。

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