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cika · 2022年11月15日

求解答如下问题

NO.PZ2021120102000006

问题如下:

An active fund trader seeks to capitalize on an expected steepening of the current upward-sloping yield curve using option-based fixed-income instruments.

Which of the following portfolio positioning strategies best positions her to gain if her interest rate view is realized?

选项:

A.

Sell a 30-year receiver swaption and a 2-year bond put option.

B.

Purchase a 30-year receiver swaption and a 2-year bond put option.

C.

Purchase a 30-year payer swaption and a 2-year bond call option.

解释:

C is correct.

A steepening of the yield curve involves an increase in the slope, or the difference between long-term and short-term yields-to-maturity. An optimal portfolio positioning strategy is one which combines a short duration exposure to long-term bonds and a long duration exposure to short-term bonds.

Portfolio C involves the right (but not the obligation) to purchase a 2-year bond, which will increase in value as short-term yields fall with the right to pay-fixed on a 30-year swap, which increases in value if long-term yields rise. Portfolio A involves the sale of two options. Although they will expire unexercised in a steeper curve environment, the investor’s return is limited to the two option premia. Portfolio B is the opposite of Portfolio C, positioning the investor for a flattening of the yield curve.

假设收益率曲线斜向上,则

①.buy 2-year pay swaption;②.buy 30-year pay swaption;③.buy 30-year receive swaption 问题一:是否选②;问题二:只要收益率曲线斜向上,就选buy pay swaption,但②的收益比①大对么

1 个答案
已采纳答案

pzqa015 · 2022年11月15日

嗨,努力学习的PZer你好:


不是的

选择哪个,要看收益率曲线的变化形状,而不是它向上或者向下的静态形状。

这道题思路如下:

预测收益率曲线steepen,所以,要long 短期,short 长期

Receiver swaption增加duration,pay swaption降低duration,所以,要购买30年期的payer swaption来降低长期头寸。

Call option有权买入债券,增加duration,put option有权卖出债券,降低duration。

所以,C选项购买30年期pay swaption和2年期债的call option符合要求。

如果有选项是buy 30年期pay swaption和2年期债的put option,也是不行的,因为2年期债的put option会降低duration。

如果有选项是buy 30年期pay swaption和sell 2年期债的put option,也是不行的,sell put option未来要被动买入债券,如果被动行权,可以增加duration,但如果Long Option一方不行权,那么sell put option也不会被动买入债券,不会增加duration,所以,sell put option不一定会增加duration。

----------------------------------------------
虽然现在很辛苦,但努力过的感觉真的很好,加油!

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