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Melodyxie · 2020年01月13日

问一道题:NO.PZ2019103001000046

问题如下:

Hirji also proposes the following duration-neutral trades for the French institutional client:

Long/short trade on 1-year and 3-year Canadian government bonds

Short/long trade on 10-year and long-term Canadian government bonds

Which yield curve forecast will most likely result in the highest profit for Hirji’s proposed duration-neutral trades?

选项:

Which yield curve forecast will most likely result in the highest profit for Hirji’s proposed duration-neutral trades?

A.

Increase in curvature

B.

Decrease in curvature

C.

Parallel downward shift

解释:

A is correct.

The trades are also called a condor and employ four positions, much like a butterfly with an elongated body. Each pair of duration-neutral trades would result in a profit if the yield curve adds curvature. The trades at the short end of the curve (going long the 1-year bond and short the 3-year bond) would profit if that end of the curve gets steeper. In addition, the trades at the long end of the curve (going short the 10-year bond and long the long-term bond) would profit if that end of the curve becomes flatter.

long 1year and LT, short 3year and 10year. 也就是中期利率上升,短期 长期不变,才profit。这不是less curvature 吗?

1 个答案

发亮_品职助教 · 2020年01月14日

嗨,爱思考的PZer你好:


"long 1year and LT, short 3year and 10year. 也就是中期利率上升,短期 长期不变,才profit"


只要是中期利率相对上升、长短期利率相对下降,这种利率预期下,这道题的Condor策略就能盈利。

比如说,中期不变,长、短期利率下降,就能盈利;

或者是,中期上升,长、短期利率下降,也能盈利。总之是中期利率、与长短期利率的相对变动。



“这不是less curvature 吗?”


Long 1 year / Short 3-year,Short 10-year / Long long-term

这个策略在中期利率相对上升、长短期利率相对下降时可以盈利,这种收益率曲线的变化对应的是More curvature。

可以利用Butterfly spread来看:

Butterfly spread = 2×中期利率 - 短期利率 - 长期利率;Butterfly spread这个值越大,代表越Curvature;

中期利率相对上升、长短期利率相对下降,就代表这个Butterfly spread会变大,即More curvature。


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