NO.PZ2021120102000006
问题如下：
An active fund trader seeks to capitalize on an expected steepening of the current upward-sloping yield curve using option-based fixed-income instruments.
Which of the following portfolio positioning strategies best positions her to gain if her interest rate view is realized?
选项：
A.Sell a 30-year
receiver swaption and a 2-year bond put option.
Purchase a 30-year receiver swaption and a 2-year bond put option.
Purchase a 30-year payer swaption and a 2-year bond call option.
解释：
C is correct.
A steepening of the yield curve involves an
increase in the slope, or the difference
between long-term and short-term yields-to-maturity. An optimal portfolio
positioning strategy is one which combines a short duration exposure to
long-term bonds and a long duration exposure to short-term bonds.
Portfolio C involves the right (but not the obligation) to purchase a 2-year bond, which will increase in value as short-term yields fall with the right to pay-fixed on a 30-year swap, which increases in value if long-term yields rise. Portfolio A involves the sale of two options. Although they will expire unexercised in a steeper curve environment, the investor’s return is limited to the two option premia. Portfolio B is the opposite of Portfolio C, positioning the investor for a flattening of the yield curve.
之前说过，无论是putable or callable都是使得D小，因为他们价格的变动有限制，有call price 和put price
putable=不含权债券+long option，为什么又说会使D增加 ？
callable=不含权bond+short option，所以会使D减少，可以理解
为什么说不管是long put 或者call，都是使得D增加？
