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蝶式交易

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什么是蝶式交易  

蝶式交易是指基于中久期债券相对于长短久期债券价值变化而进行的一种债券统计套利交易策略。

蝶式交易的内容  

当预期未来收益率变凸,即中期利率相比长短期利率上升幅度更大或降幅更小时,中期债券相对价值降低,如果做空中期债券而做多长短期债券,那么将获得收益率曲线变凸所带来的收益。  

蝶式交易可能主要受市场交易因子的驱动。事实上,从凸度的年分位数变化也可以发现,凸度一年内的变化幅度是十分剧烈的,与基本面的趋势性变化并不大。蝶式交易相当于两个增陡交易的组合,蝶式交易机会来源于互换利率曲线凸度的变化。

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这个也许只适合机构资金量大的,做对冲用
多谢分享!
我知道蝶泳!!!
了解
旁门左道
学习了。第一次看到

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