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?
Increase in curvature
Decrease in curvature
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?