NO.PZ201812020100000703
问题如下：
The answer to Prégent’s question is that the portfolio would most likely experience:
选项：
A.a loss.
B.no change.
C.a gain.
解释：
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
老师如果sell long-term bond（不含权的），本身不就是在sell convexity吗？long term bond难道是没有option 属性的吗？只要是bond应该就有convexity的属性啊，卖长期的bond可以减少convexity啊。
