张同学2018-10-29 16:23:07

老师您好！ reading24课后题第10题答案中提到“Each pair of duration-neutral trades would result in a profit if the yield curve adds curvature.”，后面又提到short end get steeper，long end get flatter，这两点和curvature是什么关系呢？ 洪老师课件中提到“笑脸”是convexity，所以我选了A，但是后面的解释不理解。谢谢！ A is correct. The trades are also called a condor and employ four positions, much like a butterfly with an elongated body. Each pair of duration-neutral trades would result in a profit if the yield curve adds curvature. The trades at the short end of the curve (going long the 1-year bond and short the 3-year bond) would profit if that end of the curve gets steeper. In addition, the trades at the long end of the curve (going short the 10-year bond and long the long-term bond) would profit if that end of the curve becomes flatter. (Institute 225) Institute, CFA. 2019 CFA Program Curriculum Level III Volume 4. CFA Institute, 5/2018. VitalBook file.