劉同學(xué)
2022-08-23 22:10老師，感覺這里理解起來很牽強(qiáng)啊，positive butterfly =negative butterfly spread?
所屬：CFA Level III > Ethical and Professional Standards 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
2022-08-24 09:01
該回答已被題主采納
同學(xué)，你好。請(qǐng)參照原版書第3本，第30頁
a 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. Note that a positive butterfly view indicates a decrease in butterfly spread
Butterfly spread = - Short-term yield+ 2* Medium-term yield - Long-term yield
同學(xué)，其實(shí)對(duì)照這個(gè)圖和公式，就是可以得出這個(gè)結(jié)論的。positive butterfly帶來的是butterfly spread的下降，而negative butterfly帶來的是butterfly spread的上升
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