ly2023-08-18 17:14:02
ly老师，您好，密卷下第三个case 第2小题，“The 2s–30s spread is expected to widen by 100 bps as short”和“ The 2s–30s spread is expected to narrow by 100 bps as short ”这两句话是啥意思，波动率高，barebell 的structural 风险不应该更大吗，为啥这个题，还更好了呢，谢谢啦？
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Simon2023-08-18 17:20:56
Simon同学，下午好。这句话The 2s–30s spread is expected to widen by 100 bps as 【short and intermediate rates fall and long rates remain stable】，重点在后半句，因为短期和中期下跌，长期不变，所以曲线变陡峭了。因为变陡峭了，所以短期和长期的利差扩大了（The 2s–30s spread is expected to widen by 100 bps）。曲线变陡峭了，我们要使用bullet。
第2句，The 2s–30s spread is expected to narrow by 100 bps as 【short and intermediate rates rise and long rates fall】，短期和中期利率上升，长期不变，所以利率曲线变平坦了，如果变平坦，我们应该使用barbel。
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老师，您好，我知道重点语句的意思，我也凭借重点语句做题了。但是我还是想知道，另外几句的意思以及作用，谢谢啦
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同学，上午好。“The 2s–30s spread is expected to widen by 100 bps as short”是根据后半集曲线变陡峭推出来的，曲线变陡，利差扩大。
同样，The 2s–30s spread is expected to narrow by 100 bps as short 就是曲线变平缓，那么长期和短期的利差缩小。
关于volatility，是和convexity有关，volatility越大，convexity越好（convexity和option比较类似，都喜欢大的波动）第二句话中，曲线变平，同时，volatility is expected to be high，那么就要增加convexity，而barbel的convexity要更大，所以更合适。
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