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开泰-王飞 · 2023年07月03日

这题应该BC都对吧, 这里利率下降,长期下降比短期多,应该long 长期,short短期,这么看bc应该都对吧

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NO.PZ202112010200000104

问题如下:

In her market research, the manager learns that ASX 3-year and 10-year Treasury bond futures are the most liquid products for investors trading and hedging medium- to long-term Australian dollar (AUD) interest rates.

Although neither contract matches the exact characteristics of the cash bonds of her choice, which of the following additions to a barbell portfolio best positions her to gain under a bull flattening scenario?

选项:

A.

Purchase a 3-year Treasury bond future matching the money duration of the short-term (2-year) position.

B.

Sell a 3-year Treasury bond future matching the money duration of the short-term bond position.

C.

Purchase a 10-year Treasury bond future matching the money duration of the long-term bond position.

解释:

C is correct.

A bull flattening is a decrease in the yield spread between long and short-term maturities driven by lower long-term yields-to-maturity.

Both A and B involve changes in portfolio exposure to short-term rates, while C increases the portfolio exposure to long-term rates to benefit from a fall in long-term yields-to-maturity.

如题。

2 个答案

pzqa31 · 2023年08月29日

嗨,爱思考的PZer你好:


是的,两个维度都要考虑。

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pzqa31 · 2023年07月04日

嗨,爱思考的PZer你好:


在bull flatten时,长短期利率都下降,长期比短期下降的多,此时大方向是要提高整个Portfolio的duration,为了盈利首先要long长期债券,至于再去short短期债券是为了达到整个portfolio duration neutral,或者可能是资金有限,所以要卖短期买长期。题目问的是哪个选项是最好的实现盈利的头寸,所以要选C。

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开泰-王飞 · 2023年08月29日

这里意思是不是要分层考虑,首先是bull flatten, 先提高整个portfolio的duration,然后在根据yield curve变化,应该short 短期还是该买长期,综合这两个的角度c是盈利最大的,是这个意思么?

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