徐同學
2021-08-25 22:16為什么利率波動大用barbell，波動小用bullet
所屬：CFA Level III > Fixed-Income Portfolio Management 視頻位置 相關試題
來源： 視頻位置 相關試題
1個回答
Chris Lan助教
2021-08-26 10:49
該回答已被題主采納
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如果利率的波動變大，投資者會買入更多convexity，因為有漲多跌少的好處，從而使得長端收益率下降，曲線的曲率變高，因此barbell的表現會更好。
Convexity is therefore valuable when interest rate volatility is expected to rise. This dynamic tends to cause investors to bid up prices on more convex, longer-maturity bonds, which drives changes in yield curve shape. As a result, the long end of the curve may decline or even invert (or invert further), increasing the curvature of the yield curve.
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