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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。
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