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石欣灵 · 2020年09月28日

老师,能否帮我解释一下这道题的思路和逻辑

Hirji then considers a strategy to sell some long-term bonds from the French institutional client’s portfolio and purchase short maturity at-the-money options on long-term bond futures. The portfolio’s duration would remain unchanged. Prégent asks:

“How would portfolio performance be affected by this strategy if the yield curve were to remain stable?”

Q. The answer to Prégent’s question is that the portfolio would most likely experience:

  1. a loss.
  2. no change.
  3. a gain.


A is correct. Short maturity at- or near-the-money options on long-term bond futures contain a great deal of convexity. Thus, options increase the convexity of the French client’s portfolio. Options are added in anticipation of a significant change in rates. If the yield curve remains stable, the portfolio will experience a loss from both the initial purchase price of the options and the foregone interest income on the liquidated bonds.

1 个答案

WallE_品职答疑助手 · 2020年09月29日

同学你好,

买option就是要获得凸性,利用涨多跌少的性质,只有波动大的时候,凸性的作用才能显现。

现在stable yield curve,convexity没有效果,而且买期权还要付期权费。

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