NO.PZ2018120301000039
问题如下：
Li is a financial consultant in a securities firm. He recommended the following long-short duration-neutral strategy to his client:
Long 1-year US government bond and short 5-year US government bond.
Short 10-year US government bond and long 30-year us government bond.
His client wants to know, under what conditions does this strategy earn the highest profit?
选项：
A. Parallel downward shift.
B. Decrease in curvature.
C. Increase in curvature.
解释：
C is correct.
考点：考察Condor策略
解析：在我们三级FI里面学到的有4个头寸的Long-short duration-neutral策略就是Condor策略。Li的建议的策略，是Short position在5年、10年期国债；Long position在1年期，和30年期国债。当中期利率相对于长短期利率上升时，该策略盈利。对应的就是收益率曲线的Curvature增加。
怎样得出中期利率相对于长短期利率上升
