NO.PZ2021120102000009
问题如下：
An active investor enters a duration-neutral yield curve flattening trade that combines 2-year and 10-year Treasury positions. Under which of the following yield curve scenarios would you expect the investor to realize the greatest portfolio gain?
选项：
A.Bear steepening
bull flattening
Yield curve inversion
解释：
C is correct.
A duration-neutral flattening trade involves a short 2-year Bond position and a long 10-year bond position, which have a “matched” duration or portfolio duration of zero. This portfolio will realize a gain if the slope of the yield curve—that is, the difference between short-term and long-term yields— declines. Yield curve inversion is an extreme version of flattening in which the spread between long-term and short-term yields-to-maturity falls below zero.
The bear steepening in A involves an unchanged 2-year yield-to-maturity with
a rise in the 10-year yield-to-maturity, causing a portfolio loss. The bull
flattening in B combines a constant 2-year yield-to-maturity with lower 10-year
rates, resulting in a gain on the 10-year bond position and an unchanged 2-year
bond position.
答案是这么说的
【这道题说的是要用2年期与10年期债券构建一个duration neutral的策略，这种策略在收益率曲线flatten下获得最大收益，然后让选出合适的flatten情形。我们先分析duration neutral。要想duration neutral，2年期债与10年期债肯定是相反头寸，即一个是Long，一个是short。】
读到这里，我是明白的，因为duration neutral 也就是组合的duration为0，那么两年期债券和十年期债券肯定是相反的头寸，通过一定比例调整后，组合的duration 是0。
接下来，答案说：
【如果想在收益率曲线flatten下有利可图，可以判断2年期是short头寸，10年期是Long头寸（假设收益率曲线下降，2年期利率下降的少，10年期利率下降的多，也就是bull flatten，显然，只有long 10年期，short 2年期，才会在duration neutral的条件下有收益，若long 1年期，short 10年期，是有亏损的）】
读到这里我就不明白了，为啥收益率曲线flatten下，一定是short 2年期债券，long 10年期债券呢。short 10年期 long 2年期债券，也可以实现duration neutral啊？
