NO.PZ2019103001000046
问题如下:
Hirji also proposes the following duration-neutral trades for the French institutional client:
Long/short trade on 1-year and 3-year Canadian government bonds
Short/long trade on 10-year and long-term Canadian government bonds
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
Decrease in curvature
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.
如果中期利率上升,长期 短期下降是more/increased in curvature,那下图中从左图变到右图也算是more curvature么?