NO.PZ2021120102000009
问题如下:
An active investor enters a duration-neutral yield curve flattening trade that combines 2-year and 10-year Treasury positions. Under which of the following yield curve scenarios would you expect the investor to realize the greatest portfolio gain?
选项:
A. Bear flattening
B. bull flattening
C. Yield curve inversion
解释:
C is correct. A duration-neutral flattening trade involves a short 2-year bond position and a long 10-year bond position, which have a “matched” duration or portfolio duration of zero. This portfolio will realize a gain if the slope of the yield curve—that is, the difference between short-term and long-term yields— declines.
Yield curve inversion is an extreme version of flattening in which the spread between long-term and short-term yields-to-maturity falls below zero.
The bear steepening in A involves an unchanged 2-year yield-to-maturity
with a rise in the 10-year yield-to-maturity, causing a portfolio loss.
The bull flattening in B combines a constant 2-year yield-to-maturity with lower 10-year rates, resulting in a gain on the 10-year bond position and an unchanged 2-year bond position.
这道题是不是加了 duration netural 必须long 和short 组合才选c
如果没有这个条件的话b bull flatting 同时long 短期和长期也可以获取不错的利益吧