??智慧
2022-08-10 09:03老師 這里的butterfly你沒說反嗎 和基礎(chǔ)課老師講的不一樣誒
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(gè)回答
hongbo助教
2022-08-10 10:55
該回答已被題主采納
同學(xué)，你好。The positive butterfly, which indicates a decrease in the butterfly spread due to an expected rise in short- and long-term yields-to- maturity combined with a lower medium-term yield-to- maturity.
The negative butterfly, which indicates an increase in the butterfly spread.
Butterfly spread=?YS+2×YM?YL
case 3，第5題說，觀點(diǎn)是發(fā)生negative butterfly，也就是說butterfly spread是會(huì)上升。也就是說預(yù)估中期利率上升，而預(yù)計(jì)短期和長期利率會(huì)下降。所以我們應(yīng)該long Barbell，short Bullet。
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