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开泰-王飞 · 2022年11月02日

选项内容没有读太清楚

* 问题详情,请 查看题干

NO.PZ202112010200000103

问题如下:

Assume the manager is able to extend her mandate by adding derivatives strategies to the three portfolio alternatives.

The best way to position her portfolio to benefit from a bear flattening scenario is to combine a:

选项:

A.

2-year receive-fixed Australian dollar (AUD) swap with the same money duration as the bullet portfolio.

B.

2-year pay-fixed AUD swap with twice the money duration as the 2-year government bond in the barbell portfolio.

C.

9-year receive-fixed AUD swap with twice the money duration as the 9-year government bond position in the equally weighted portfolio.

解释:

B is correct. A bear flattening scenario is a decrease in the yield spread between long- and short-term maturities driven by higher short-term rates. The manager must therefore position her portfolio to benefit from rising short-term yields.

Under A, the receive-fixed 2-year swap is a synthetic long position, increasing portfolio duration that will result in an MTM loss under bear flattening. The receive-fixed swap in answer C will increase duration in long-term maturities.
In the case of B, the pay-fixed swap with twice the money duration of the barbell will more than offset the existing long position, resulting in net short 2-year and long 9-year bond positions in the overall portfolio and a gain under bear flattening.

根据题干,应该是short ST 和long LT ,答案B的意思是short 短期,答案c意思是long 长期,为何B对c不对?

1 个答案

pzqa015 · 2022年11月03日

嗨,从没放弃的小努力你好:


题目是bear flatten,应该是short ST+long LT

但Bear代表收益率曲线整体向上倾斜,所以,应该降低Portfolio duration,这样获利更多。

B选项,在现有barbell中,增加2年pay fixed 头寸,且该部分头寸的money duration是现有2年期money duration的2倍,结果是降低了portfolio duration。

C选项,在现有equally中,增加9年期receive fixed头寸,且该部分头寸的money duration现有9年期的2倍,结果是增加了portfolio duration。

所以只能选B。

----------------------------------------------
虽然现在很辛苦,但努力过的感觉真的很好,加油!

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