问题如下:
The curve trade that would best capitalize on Chan’s view of the US credit curve is to:
选项:
A.short a 20-year CDX and short a 2-year CDX.
B.short a 20-year CDX and go long a 2-year CDX.
C.go long a 20-year CDX and short a 2-year CDX.
解释:
B is correct.
To take advantage of Chan’s view of the US credit curve steepening in the short term, a curve trade will entail shorting (buying protection) a long-term (20-year) CDX and going long (selling protection) a short-term (2-year) CDX. A steeper curve means that long-term credit risk increases relative to short-term credit risk.
capitalize on her short-term view of a steepening of the US credit curve.
从题目来看,也就是说,short-term spread 变大,那么buy protection, short position。 答案是不是有误?