張同學
2018-10-29 16:23老師您好！ reading24課后題第10題答案中提到“Each pair of duration-neutral trades would result in a profit if the yield curve adds curvature.”，后面又提到short end get steeper，long end get flatter，這兩點和curvature是什么關系呢？ 洪老師課件中提到“笑臉”是convexity，所以我選了A，但是后面的解釋不理解。謝謝！ A is correct. The trades are also called a condor and employ four positions, much like a butterfly with an elongated body. Each pair of duration-neutral trades would result in a profit if the yield curve adds curvature. The trades at the short end of the curve (going long the 1-year bond and short the 3-year bond) would profit if that end of the curve gets steeper. In addition, the trades at the long end of the curve (going short the 10-year bond and long the long-term bond) would profit if that end of the curve becomes flatter. (Institute 225) Institute, CFA. 2019 CFA Program Curriculum Level III Volume 4. CFA Institute, 5/2018. VitalBook file.
所屬：CFA Level III > Private Wealth Management 視頻位置 相關試題
來源： 視頻位置 相關試題
1個回答
Sherry Xie助教
2018-10-29 18:06
該回答已被題主采納
同學你好，通過HIRIJI的描述，我們是long兩頭，short中間，所以是個condor的圖像，所以當curvature上升的時候，兩組都可以獲利，3年期和10年期債券已經short所以利率上升對其影響不大，一年期和long term 的利率變化不大，所以也幾乎受不到影響。因此curvature上升能夠得到高收益。
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追問
老師您好！
您的回答對我?guī)椭艽螅?br/>能否再麻煩給畫個簡圖，示意一下增加curvature的情形？因為不太理解答案中提到的增加curvature就是short end 變steeper ，long end 變 flatter，能畫個圖看看最好啦！謝謝您！
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