NO.PZ2021120102000006
问题如下：
An active fund trader seeks to capitalize on an expected steepening of the current upward-sloping yield curve using option-based fixed-income instruments.
Which of the following portfolio positioning strategies best positions her to gain if her interest rate view is realized?
选项：
A.Sell a 30-year
receiver swaption and a 2-year bond put option.
Purchase a 30-year receiver swaption and a 2-year bond put option.
Purchase a 30-year payer swaption and a 2-year bond call option.
解释：
C is correct.
A steepening of the yield curve involves an
increase in the slope, or the difference
between long-term and short-term yields-to-maturity. An optimal portfolio
positioning strategy is one which combines a short duration exposure to
long-term bonds and a long duration exposure to short-term bonds.
Portfolio C involves the right (but not the obligation) to purchase a 2-year bond, which will increase in value as short-term yields fall with the right to pay-fixed on a 30-year swap, which increases in value if long-term yields rise. Portfolio A involves the sale of two options. Although they will expire unexercised in a steeper curve environment, the investor’s return is limited to the two option premia. Portfolio B is the opposite of Portfolio C, positioning the investor for a flattening of the yield curve.
Receiver swaption增加duration，pay swaption降低duration，所以，要购买30年期的payer swaption来降低长期duration。
Call option有权买入债券，增加duration，put option有权卖出债券，降低duration。所以，要买入2年期债券的call option来增加duration。
我不是很理解这个地方的A和C选项
1.A选项的sell put option和C的buy call option 都是增加了duration，那为什么不选择A呢？
2.是不是因为长期利率上升，降低D；短期利率相对于长期利率下降，所以要增加D。这里看的相对的方向，所以必须要一个增加D一个减少D
