L3 fix income problem price, income, problem

ssigh

contribution to spread durantoin:credit sector is 1.1,treasury  sector is 0

Forecast1:spreads to narrow in all other spread sectors

Forecast2:a positively sloped yield curve with short rates rising 25 basis points and long rates rising by about 75 basis points.

ans:lengthen duration in credit sector and shorten it in the treasury sector

虽然forecast1 说spread to narrow，所以asset price will go up

但Forecast2也说了rates rising啊，asset price不会下跌吗？

ssigh

回复 2# yz2006


   hedges interest risk，不是应该short duration in credit sector吗？credit sector 的duration比treasury sector大啊。