NO.PZ201812020100000805
问题如下:
Based on Exhibit 1, which short position is most likely to be included in the condor outlined in Scenario 2?
选项:
A.1-year $338 million
B.5-year $71 million
C.10-year $38 million
解释:
A is correct.
To profit from a decrease in yield curve curvature, the correct condor structure will be: short 1s, long 5s, long 10s, and short 30s. The positions of the condor will be: short $338 million 1-year bond, long $71 million 5-year bond, long $38 million 10-year bond, and short $17 million 30-year bond.
This condor is structured so that it benefits from a decline in curvature, where the middle of the yield curve decreases in yield relative to the short and long ends of the yield curve.
To determine the positions, we take the maximum allowance of 30-year bonds of $17 million and determine money
duration. Money duration is equal to market value x modified duration divided by 100. 30-year bond money duration = $17 million × 19.69/100 = $3,347,300. The market values of the other positions are:
1-year bond: $3,347,300 × 100/0.99 = $338.11 million or $338 million
5-year bond: $3,347,300 × 100/4.74 = $70.62 million or $71 million
10-year bond: $3,347,300 × 100/8.82 = $37.95 million or $38 million
condor 的两边 long 1-year short 5-year + short 10-year, long 30-year bonds, 是两边DURATION NEUTRAL, 并没有说这四个POSITION 都NEUTRAL 啊。
这样的话为什么不选10 年的那个啊,因为对应30年的应该是10年。