NO.PZ2023091701000026
问题如下：
A hedge fund manager wants to change her interest rate exposure by investing in fixed-income securities with negative duration. Which of the following securities should she buy?
选项：
A.Short maturity calls on zero-coupon bonds with long maturity.
B.Short maturity puts on interest-only strips from long maturity conforming mortgages.
C.Short maturity puts on zero-coupon bonds with long maturity.
D.Short maturity calls on principal-only strips from long maturity conforming mortgages.
解释：
In order to change her interest rate exposure by acquiring securities with negative duration, the manager will need to invest in securities that decrease in value as interest rates fall (and increase in value as interest rates rise). Zero coupon bonds with long maturity will increase in value as interest rates fall, so calls on these bonds will increase in value as rates fall but puts on these bonds will decrease in value and this makes C the correct choice. Interest-only strips from long maturity conforming mortgages will decrease in value as interest rates fall, so puts on them will increase in value, while principal strips on these same mortgages will increase in value, so calls on them will also increase in value.
老师好，这道题，D选项，为什么r下降，不会prepay呢，就是用分析B的思路
