Rachel
2019-12-05 17:15老師，請問書本222頁第十八題答案Scenario 1 is an extreme barbell and is typically used when the yield curve flattens. In this case, the 30- year bond has larger price gains because of its longer duration and higher convexity relative to other maturities. 30-year bond的duration和convexity的數(shù)據(jù)在哪里？怎么得出larger price gain的結(jié)論的？ If the yield curve flattens through rising short- term interest rates, portfolio losses are limited by the lower price sensitivity to the change in yields at the short end of the curve while the benchmark’s middle securities will perform poorly.是什么意思？解釋有些看不懂？
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 10:15
該回答已被題主采納
同學(xué)你好
這個題是讓你從定性角度判斷，30年債的現(xiàn)金流離散程度越大，所以他的convexity也更大。
如果收益率曲線通過短期利率上升而趨平，那么投資組合損失將受到對收益率曲線短端變化的較低價格敏感性的限制，而基準(zhǔn)的中間證券將表現(xiàn)較差
這句話就是說，短端的久期比較小，就算上升，帶來的損失也比較小，中間的部分久期相對大一些，所以利率上升，損失更大。
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