NO.PZ201712110200000505
问题如下：
To close the position on the hypothetical Orion trade, the fund:
选项：
A.sells protection at a higher premium than it paid at the start of the trade.
B.buys protection at a lower premium than it received at the start of the trade.
C.buys protection at a higher premium than it received at the start of the trade.
解释：
B is correct.
The trade assumes that £6 million of five-year CDS protection on Orion is initially sold, so the Fund received the premium. Because the credit spread of the Orion CDS narrowed from 150 bps to 100 bps, the CDS position will realize a financial gain. This financial gain is equal to the difference between the upfront premium received on the original CDS position and the upfront premium to be paid on a new, offsetting CDS position. To close the position and monetize this gain, the Fund should unwind the position by buying protection for a lower premium (relative to the original premium collected).
和这道题相关的题干信息：
Chan describes a hypothetical trade in which the fund sells £6 million of five-year CDS protection on Orion, where the CDS contract has a duration of 3.9 years. Chan assumes that the fund closes the position six months later, after Orion’s credit spread narrowed from 150 bps to 100 bps.
也就是之前投资者已经卖出了6million的CDS protection，Sell CDS protection；CDS的Duration是3.9 years。
投资者预测6个月后，Credit spread从原先的150bps降低到100bps，且投资者要平掉之前的头寸。
所以之前的头寸，已经实现了盈利，因为之前卖出CDS protection时，收到的保费是按照更高的Credit spread定价的，而现在的Credit spread降低。
为了平掉头寸，现在应该买入CDS protection，付出的保费是按照新的、更低的Credit spread 100bps定价的，所以买入这个CDS付出的Premium更小。
由于期初投资者卖出CDS protection，赚取了更高的保费；后期平掉头寸时，付出了更小的保费，所以赚取了中间的差价。
下划线这里，spread降低了，不应该价格更高了吗？价格更高，买入新的CDS去平掉时，更贵啊？
