张同学2022-10-03 00:30:35

PPT第153页和155页，yield curve steepener/flattener strategies, 为什么steepener strategy要long 短期，short长期，而flattener strategy是shore 短期，long 长期获利？原版书中是“Yield curve steepener strategies seek to gain from an increase in yield curve slope, or a greater difference between long- term and short- term yields- to- maturity. This may be achieved by combining a “long” shorter- dated bond position with a “short” longer- dated bond position.” Flattener strategies may use a barbell strategy, which reverses the exposure profile of a steepener—namely, a “short” short- term bond position and a “long” long- term bond position. The bull and bear variations of this strategy are summarized in Exhibit 18.