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落了一地 · 2021年10月24日

关于什么是more curvature

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

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.

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?


 



1 个答案

pzqa015 · 2021年10月24日

嗨,努力学习的PZer你好:


是的,只要是长、短期利率下降,中期利率上升,就是more curvature。

另外,你画的曲线形状不标准哈,正常情况下,收益率曲线都是向上倾斜,短端利率小于长短利率,而且是凸状,而不是凹状。

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crease in curvature Parallel wnwarshift A is correct. The tras are also callea conr anemploy four positions, mulike a butterfly with elongatebo. Eapair of ration-neutrtras woulresult in a profit if the yielcurve as curvature. The tras the short enof the curve (going long the 1-yebonanshort the 3-yebon woulprofit if thenof the curve gets steeper. In aition, the tras the long enof the curve (going short the 10-yebonanlong the long-term bon woulprofit if thenof the curve becomes flatter. 这道题 long/short tra 1年和3年债券,就是long 1年 short3年的意思?

2021-04-16 15:54 1 · 回答

NO.PZ2019103001000046 我是选了C,并且看了解答,有一道回答是这么说的 “这道题说,构建了Long 1-year/Short 3-year;Short 10-year/Long Long-term这个Conr策略,问我们最有可能发生的利率预期是啥?” 但其实这道题是问可产生最高收益的yielcurve change是什么——Whiyielcurve forecast will most likely result in the highest profit  于是我是这么想的,long wing short bo下, increase in curvature,R(mile term)上升,wing收益不变,但是bo却因short有比较小的损失 crease in curvature,R(mile term)下降,wing收益不变,但是bo却因short有比较小的盈利 Parallel wnwarshift对所的头寸都是产生盈利,只是不同期限头寸盈利大小而已。 三者比较,Parallel wnwarshift will most likely result in the highest profit,就选了C。

2021-04-05 13:43 1 · 回答

NO.PZ2019103001000046 可以画一下increase in curvature的图吗?

2021-02-07 10:30 1 · 回答

我发现大家都懂应该是两头利率下降,中间利率上升,但是这是更曲还是更平,大家观点不一致,主要是曲线的形状决定吧。如果曲线是凹的,那么就是更曲,所以一般来说利率曲线是凹的对吧?

2020-10-10 17:42 1 · 回答