NO.PZ2019103001000045
问题如下：
Hirji then considers a strategy to sell some long-term bonds from the French institutional client’s portfolio and purchase short maturity at-the-money options on long-term bond futures. The portfolio’s duration would remain unchanged. Prégent asks:
“How would portfolio performance be affected by this strategy if the yield curve were to remain stable?”
The answer to Prégent’s question is that the portfolio would most likely experience:
选项：
A.a loss.
no change.
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.
既然是卖出LT bond，为什么不是sell C了呢，所以会有gain，为什么跟futures一比就会成了loss？谢谢
