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Emmmmmmmua · 2022年02月09日

collar的图形是不是和bull spread一样？

  1. FRM I
  2. Financial Markets And Products

NO.PZ2016082402000032

问题如下：

A portfolio manager wants to hedge his bond portfolio against changes in interest rates. He intends to buy a put option with a strike price below the portfolio’s current price in order to protect against rising interest rates. He also wants to sell a call option with a strike price above the portfolio’s current price in order to reduce the cost of buying the put option. What strategy is the manager using?

选项：

A.

Bear spread

B.

Strangle

C.

Collar

D.

Straddle

解释：

ANSWER: C

The manager is long a portfolio, which is protected by buying a put with a low strike price and selling a call with a higher strike price. This locks in a range of profits and losses and is a collar. If the strike prices were the same, the hedge would be perfect.

collar的图形是不是和bull spread一样？

区别是spread要都用call 或者 都用put，collar 要用一个call一个put？

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1 个答案

品职答疑小助手雍 · 2022年02月09日

同学你好，图形是一样的，collar需要的是underlying+call+put。

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