王同学2022-05-20 15:13:37

Reading 26 原版书 Page 210中，“52 bps were gained as a result of changes in the shape of the yield curve. ”是由于changes in the shape of the yield curve所获得的所有，并且推断是持有了overweighting“ long-duration bucket”所得到的，并且预测了是flattened，但是“62 bps were lost by taking a long-duration position during a period when yields increased”根据-62bps可以看出，yeild是升高的，yeild的升高，对yeild curve的影响就算是bear flatten，持有long-duration bucket，收益也应该是负的啊，这个地方没看懂，烦请解答一下。