问题如下：
Which yield curve forecast will most likely result in the highest profit for Hirji’s proposed duration-neutral trades?
选项：
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.
这道题何老师说C肯定不选，因为c应该是duration管理的时候。但是这道题已经限定了duration neutral，是不是在做butterfly的时候其实convexity是增大的，其实C也有一个profit，只是没有那么大？