开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

弓 · 2021年10月18日

对curvature继续表示疑惑

* 问题详情,请 查看题干

NO.PZ201812020100000804

问题如下:

The yield curve expectation that Abram’s supervisor targets with Scenario 1 is most likely a:

选项:

A.

flattening yield curve.

B.

reduction in yield curve curvature.

C.

100 bps parallel shift downward of the yield curve.

解释:

A is correct.

Scenario 1 is an extreme barbell and is typically used when the yield curve flattens. In this case, the 30-year bond has larger price gains because of its longer duration and higher convexity relative to other maturities. If the yield curve flattens through rising short-term interest rates, portfolio losses are limited by the lower price sensitivity to the change in yields at the short end of the curve while the benchmark’s middle securities will perform poorly

Scenario 1: Sell all bonds in the Fund except the 2-year and 30-year bonds and increase positions in these two bonds while keeping duration neutral to the benchmark.


在保持duration neutral的情况下,short掉了组合里除短期与长期以外的所有债券(那就是中期债券咯),然后继续long短期与长期债券,这不是一个非常典型的 condor吗?


我的理解是,因为这道题的选项里没有"increase in yield curve curvature",所以让"flattening yield curve"这个选项小人得志了。


更确切的结论是,barbell结构,在slope的falttening 与curvature的increase这两种情形下都是受益的。所以那位主管的预期应该包含两种情形,只不过选项只给出了一种而已。


不知道理解对不对,希望老师批评指正 ,谢谢

1 个答案

pzqa015 · 2021年10月18日

嗨,爱思考的PZer你好:


你的理解没问题。

----------------------------------------------
努力的时光都是限量版,加油!

  • 1

    回答
  • 0

    关注
  • 355

    浏览
相关问题

NO.PZ201812020100000804 rection in yielcurve curvature. 100 bps parallel shift wnwarof the yielcurve. A is correct. Scenario 1 is extreme barbell anis typically usewhen the yielcurve flattens. In this case, the 30-yebonhlarger prigains because of its longer ration anhigher convexity relative to other maturities. If the yielcurve flattens through rising short-term interest rates, portfolio losses are limitethe lower prisensitivity to the change in yiel the short enof the curve while the benchmark’s mile securities will perform poorlylong 两年和30年的bonshort 其他的,类似于conr,那就应该是increasecurvature,为什么是flattereyielcurve呢,曲度增加为什么是变平呢

2021-05-16 14:22 1 · 回答

NO.PZ201812020100000804 flatten用典型的yielcurve flatten图形的话怎么A 中期利率下降,价格上升,应该用bullet更好啊

2021-03-13 20:28 1 · 回答

请问一下,我画的这两个图是不是都可以算是Curvature减小呢?还是说图1其实是Curvature增大?

2020-11-21 20:47 1 · 回答

rection in yielcurve curvature. 100 bps parallel shift wnwarof the yielcurve. A is correct. Scenario 1 is extreme barbell anis typically usewhen the yielcurve flattens. In this case, the 30-yebonhlarger prigains because of its longer ration anhigher convexity relative to other maturities. If the yielcurve flattens through rising short-term interest rates, portfolio losses are limitethe lower prisensitivity to the change in yiel the short enof the curve while the benchmark’s mile securities will perform poorlycparallel shift的话barbell是outperform bullet的 那么应该可以选c啊

2020-10-10 16:20 1 · 回答