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reachqi · 2021年08月13日

选项C错在哪里?

* 问题详情,请 查看题干

NO.PZ201812020100000704

问题如下:

Which yield curve forecast will most likely result in the highest profit for Hirji’s proposed duration-neutral trades?

选项:

A.

Increase in curvature

B.

Decrease in curvature

C.

Parallel downward shift

解释:

A is correct.

The trades are also called a condor and employ four positions, much like a butterfly with an elongated body. Each pair of duration-neutral trades would result in a profit if the yield curve adds curvature. The trades at the short end of the curve (going long the 1-year bond and short the 3-year bond) would profit if that end of the curve gets steeper. In addition, the trades at the long end of the curve (going short the 10-year bond and long the long-term bond) would profit if that end of the curve becomes flatter.

选项C错在哪里?选项A为什么比选项C好?

1 个答案

pzqa015 · 2021年08月14日

嗨,从没放弃的小努力你好:


同学你好

H同学给出的策略是一个long condor的策略,long condor策略在四个现金流时间点有不同的头寸方向。

如果是paralle shift,不论是upward还是downward,所有头寸的方向应该是一致的。

比如,upward parallel shift,那么所有时间点都应该是short position;down ward parallel shift,那么所有时间点都应该是long position。

所以,根据H同学给出的不同现金流发生时间点头寸不完全一致,不能选择C选项。

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努力的时光都是限量版,加油!

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