Rachel
2019-12-05 15:06老師，請問書本220頁第十一題答案In order to take duration- neutral positions that will profit from an increase in the curvature of the yield curve, Hirji should structure a condor. Allocation to 2- year bond = Money duration of long- term bonds/PVBP of 2- year bond. duraion-neuture不是long+long=short+short，Money duration 2year+long-term=Money duratiion 5-year+ 10-year，為什么這里是Money duration 2-year=Money duration long-term？
所屬：CFA Level III > Fixed-Income Portfolio Management 視頻位置 相關(guān)試題
來源： 視頻位置 相關(guān)試題
1個回答
Chris Lan助教
2019-12-06 09:50
該回答已被題主采納
同學你好
Condor：long barbell，short bullet
Condor構(gòu)成的前提條件：duration neutral（dollar duration相等），即構(gòu)成condor的4個頭寸的dollar duration是相等的
condor是四個頭寸的dollar duration相等，每個都一樣。
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