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.
无论是bull还是bear，分析结果是一样的。
如果预期收益率曲线bear steepen，则短期上涨少，长期上涨多，我们应该long 短期，short 长期；
如果预期收益率曲线bull steepen，则短期下降多，长期下降少，我们应该long 短期，short长期。
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如果bear steepen, 那么短期和长期利率都上涨， 都应该short呀，short长期和short 短期，为什么还要long长期呢？
