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2023-08-18 17:14老師，您好，密卷下第三個(gè)case 第2小題，“The 2s–30s spread is expected to widen by 100 bps as short”和“ The 2s–30s spread is expected to narrow by 100 bps as short ”這兩句話是啥意思，波動(dòng)率高，barebell 的structural 風(fēng)險(xiǎn)不應(yīng)該更大嗎，為啥這個(gè)題，還更好了呢，謝謝啦？
所屬：CFA Level III > Fixed-Income Portfolio Management 視頻位置 相關(guān)試題
來(lái)源： 視頻位置 相關(guān)試題
1個(gè)回答
Simon助教
2023-08-18 17:20
該回答已被題主采納
同學(xué)，下午好。這句話The 2s–30s spread is expected to widen by 100 bps as 【short and intermediate rates fall and long rates remain stable】，重點(diǎn)在后半句，因?yàn)槎唐诤椭衅谙碌L(zhǎng)期不變，所以曲線變陡峭了。因?yàn)樽兌盖土?，所以短期和長(zhǎng)期的利差擴(kuò)大了（The 2s–30s spread is expected to widen by 100 bps）。曲線變陡峭了，我們要使用bullet。
第2句，The 2s–30s spread is expected to narrow by 100 bps as 【short and intermediate rates rise and long rates fall】，短期和中期利率上升，長(zhǎng)期不變，所以利率曲線變平坦了，如果變平坦，我們應(yīng)該使用barbel。
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追問(wèn)
老師，您好，我知道重點(diǎn)語(yǔ)句的意思，我也憑借重點(diǎn)語(yǔ)句做題了。但是我還是想知道，另外幾句的意思以及作用，謝謝啦
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追答
同學(xué)，上午好?！癟he 2s–30s spread is expected to widen by 100 bps as short”是根據(jù)后半集曲線變陡峭推出來(lái)的，曲線變陡，利差擴(kuò)大。
同樣，The 2s–30s spread is expected to narrow by 100 bps as short 就是曲線變平緩，那么長(zhǎng)期和短期的利差縮小。
關(guān)于volatility，是和convexity有關(guān)，volatility越大，convexity越好（convexity和option比較類似，都喜歡大的波動(dòng)）第二句話中，曲線變平，同時(shí)，volatility is expected to be high，那么就要增加convexity，而barbel的convexity要更大，所以更合適。
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