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.
如题。另外老师可以帮忙再讲一下derivative overlay的出题方法和重要公式理解吗？谢谢！
当利率上升的时候，pay float 会导致duration上升，反之会导致duration下降，这样理解对吗？除开利率对duration的影响，这题里面呢不同的债券类型实际上不影响答案的是吗？
