问题如下:
The yield curve expectation that Abram’s supervisor targets with Scenario 1 is most likely a:
选项:
A.flattening yield curve.
B.reduction in yield curve curvature.
C.100 bps parallel shift downward of the yield curve.
解释:
A is correct.
Scenario 1 is an extreme barbell and is typically used when the yield curve flattens. In this case, the 30-year bond has larger price gains because of its longer duration and higher convexity relative to other maturities. If the yield curve flattens through rising short-term interest rates, portfolio losses are limited by the lower price sensitivity to the change in yields at the short end of the curve while the benchmark’s middle securities will perform poorly
请问一下,我画的这两个图是不是都可以算是Curvature减小呢?还是说图1其实是Curvature增大?