Rachel2019-12-05 15:06:16

老师，请问书本220页第十一题答案In order to take duration- neutral positions that will profit from an increase in the curvature of the yield curve, Hirji should structure a condor. Allocation to 2- year bond = Money duration of long- term bonds/PVBP of 2- year bond. duraion-neuture不是long+long=short+short，Money duration 2year+long-term=Money duratiion 5-year+ 10-year，为什么这里是Money duration 2-year=Money duration long-term？