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Falcon · 2022年04月26日

选项A

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.

B.

Purchase a 30-year receiver swaption and a 2-year bond put option.

C.

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.

sell 2-year bond put option.不也是增加短期的Duration,为什么不选

2 个答案

pzqa015 · 2022年05月03日

嗨,努力学习的PZer你好:


是卖出2年期bond的option

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pzqa015 · 2022年04月26日

嗨,从没放弃的小努力你好:


sell 2 year bond put option未来要被动卖出两年期债券,是降低2年期duration,而不是增加2年期duration的。

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努力的时光都是限量版,加油!

mino酱是个小破货 · 2022年05月14日

对方执行put,sellers需要买入

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