问题如下：
McLaughlin and Michaela Donaldson, a junior analyst at Delphi, are now discussing how to reposition the portfolio in light of McLaughlin’s expectations about interest rates over the next 12 months. She expects interest rate volatility to be high and the yield curve to experience an increase in the 2s/10s/30s butterfly spread, with the 30-year yield remaining unchanged. Selected yields on the Treasury yield curve, and McLaughlin’s expected changes in yields over the next 12 months, are presented in Exhibit 1.
Donaldson suggests they also consider altering the portfolio’s convexity to enhance expected return given McLaughlin’s interest rate expectations.
Given McLaughlin’s interest rate expectations over the next 12 months, one way that Donaldson and McLaughlin could alter convexity to enhance expected return would be to:
选项：
A.sell call options on bonds held in the portfolio.
buy call options on long-maturity government bond futures.
sell put options on bonds they would be willing to own in the portfolio.
解释：
B is correct.
McLaughlin expects interest rate volatility to be high and the yield curve to experience an increase in the butterfly spread, with the 30-year yield remaining unchanged. To increase the portfolio’s expected return, Donaldson and McLaughlin should buy call options on long-maturity government bond futures to increase convexity.
这题的关键是alter convexity，然后去enhance expected return.
而大的前提是：
- interest rate volatility 提高了
- yield curve 在2s/5s/10s的时候提高了
那么当看到volatility提高了之后，其实买options是最佳的。那么买了option,同时也会增加convexity。那么避免了当yield curve上移之后，产生的loss.
所以B的答案是我买了一个call option之后，提高了convexity,使得利率上升之后，债价会下跌少一点。
但试想下，如果利率变高了，债价格变低了，是不是应该long bond future，这样当利率上升，债价降低的时候能够增加收益呢。所以我的第一反应应该是long put. 这边没有一个long put的选项，所以我就选了sell call.
两个解释都满足了调整convexity，来增加expected return, 第一个是提高convexity，第二个是降低convexity. 所以从概念上应该都符合。但我实在受不了答案B，当你利率上升了，你还要买入CALL OPTION， 这不是找亏嘛。明明你知道利率是要上升的，你还买option on bond future.难道convexity增加的收益会大于call option的premium嘛？
