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condor

* 问题详情，请查看题干

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：

1-year $338 million

5-year $71 million

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。

嗨，努力学习的PZer你好：

condor 的两边 long 1-year short 5-year + short 10-year, long 30-year bonds, 是两边DURATION NEUTRAL，

不对不对。有种特殊的情况是Condor的4个头寸都相等。

首先是，对于一个普通的Condor策略，我们所说的Money duration-neutral是指：

左边的翅膀：Long 1-year 与Short 5-year，组内实现Money duration-neutral，例如，1-year BPV = 5-year BPV = 150，Long/Short头寸实现Neutral

右边的翅膀：Short 10-year与Long 30-year，组内实现Money duration-neutral，例如，10-year BPV = 30-Year BPV = 350，Long/Short头寸实现Neutral。

以上就已经是一个合格的Condor策略了，左边的翅膀内部达到money duration-neutral，右边的翅膀内部达到Money duration-neutral。

但是注意，完全有可能4个头寸的BPV都相等，如：

左边的翅膀：1-year BPV = 5-year BPV = 150，Long/Short头寸实现Neutral

右边的翅膀：10-year BPV = 30-Year BPV = 150，Long/Short头寸实现Neutral。

这种是完全有可能实现的，这就是一种特殊的Condor策略，4个头寸的BPV都相等。

并没有说这四个POSITION 都NEUTRAL 啊。

题干有说的，注意要看题干的描述。这道题让基于Scenario 2作出一个Condor策略。

那我们回头看一下Scenario 2：

他说要构建一个Condor策略，来捕获5-year利率至10-year利率，这段利率下降（Less curvature）

这个Condor将会使用1-year/5-year/10-year/30-year这4支债券；

并且，30-YEAR的最大头寸是17milliob，同时，所有的头寸必须有相同的Money duration。

Construct a condor to benefit from less curvature in the 5-year to 10-year area of the yield curve. The condor will utilize the same

1-year, 5-year, 10-year, and 30-year bonds held in the Fund. The maximum allowable position in the 30-year bond in the condor is $17 million, and the bonds must have equal (absolute value) money duration

所以，这道题已经告诉我们啦，这是一种特殊的、4个头寸都相等的Condor。

那已知5-year利率至10-year利率下降，所以要Long中期债券，Long 5-year、Long 10-year债券；

那对应的short头寸为：Short 1-year，Short 30-year；

那这个Condor策略为：

左边翅膀：Short 1-year/Long 5-year；

右边翅膀：Long 10-year/Short 30-year

且4个头寸的BPV相等。那已知30-year的BPV，我们可以求出来1-year的Short position。

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。

由利率曲线的变动可以判断，这个Condor是Long 10-year、Short 30-year；而这道题让计算的是Short头寸的Position，因此可以判断出来，让求的是1-year的Position。

所以基于以上的分析思路，这道题其实不用计算，定性就可以判断出来选A。不过求稳计算的话，题目告诉了4个头寸BPV相等，已知30-year的BPV，可以求1-year的Position。

需要注意，Condor策略里面4个头寸是有可能BPV相等的，像这道题就明确的说了，4个头寸的BPV相等；所以可以用右边翅膀的30-year BPV计算左边翅膀的1-year position.

我们还有一个课后题，他是已知30-year的BPV，让我们计算2-year的头寸，那显然是默认4个头寸的BPV相等，否则无法计算。需要记住这种情况。

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