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.
2-year pay-fixed AUD swap with twice the money duration as the 2-year government bond in the barbell portfolio.
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.
老师,在有问必答中看到有同学提出了类似的问题,但对于bear代表收益率曲线整体向上,bull代表收益率曲线整体向下,这个说法想确认下自己的理解:
这里面其实是不是就是把整条收益率曲线移动的情况做了一个归纳?如,bear flattening长短端收益率都可能上涨,但短端的收益率上涨更快才可以flattening,从整条收益率来看,其实类似于整条收益率曲线发生了一个向上移动的情况?