NO.PZ2021120102000009
问题如下：
An active investor enters a duration-neutral yield curveflattening trade that combines 2-year and 10-year Treasury positions. Underwhich of the following yield curve scenarios would you expect the investor torealize 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 short2-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 ifthe slope of the yield curve—that is, the difference between short-term andlong-term yields— declines.
Yield curve inversion is an extreme version offlattening in which the spread between long-term and short-termyields-to-maturity falls below zero.
The bear steepening in A involves an unchanged 2-year yield-to-maturitywith a rise in the 10-year yield-to-maturity, causing a portfolio loss.
The bull flattening in B combines a constant 2-yearyield-to-maturity with lower 10-year rates, resulting in a gain on the 10-yearbond position and an unchanged 2-year bond position.
题中只说了duration neatural 那么即可以long 2y short 10y，也可以 short 2y long 10y，为啥用后一种分析？，在前一种前一种情况下 invertion的时候不是亏损最大嘛？
