我发现大家都懂应该是两头利率下降,中间利率上升,但是这是更曲还是更平,大家观点不一致,主要是曲线的形状决定吧。如果曲线是凹的,那么就是更曲,所以一般来说利率曲线是凹的对吧?
问题如下图:
选项:
A.
B.
C.
解释:
NO.PZ2019103001000046 如果中期利率上升,长期 短期下降是more/increasein curvature,那下图中从左图变到右图也算是more curvature么?
crease in curvature Parallel wnwarshift A is correct. The tras are also callea conr anemploy four positions, mulike a butterfly with elongatebo. Eapair of ration-neutrtras woulresult in a profit if the yielcurve as curvature. The tras the short enof the curve (going long the 1-yebonanshort the 3-yebon woulprofit if thenof the curve gets steeper. In aition, the tras the long enof the curve (going short the 10-yebonanlong the long-term bon woulprofit if thenof the curve becomes flatter. 这道题 long/short tra 1年和3年债券,就是long 1年 short3年的意思?
NO.PZ2019103001000046 我是选了C,并且看了解答,有一道回答是这么说的 “这道题说,构建了Long 1-year/Short 3-year;Short 10-year/Long Long-term这个Conr策略,问我们最有可能发生的利率预期是啥?” 但其实这道题是问可产生最高收益的yielcurve change是什么——Whiyielcurve forecast will most likely result in the highest profit 于是我是这么想的,long wing short bo下, increase in curvature,R(mile term)上升,wing收益不变,但是bo却因short有比较小的损失 crease in curvature,R(mile term)下降,wing收益不变,但是bo却因short有比较小的盈利 Parallel wnwarshift对所的头寸都是产生盈利,只是不同期限头寸盈利大小而已。 三者比较,Parallel wnwarshift will most likely result in the highest profit,就选了C。
NO.PZ2019103001000046 可以画一下increase in curvature的图吗?