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24 yield curve strategies (comparing performance of duration-neutral…
24 yield curve strategies
foundational concepts
yield curve dynamics
duration an convexity
strategies tyles
stable yield curve
buy and hold
riding the yield curve
sell convexity
carry trade
changes in market level slope or curvature
duration management -
using derivatives to alter portfolio duration
buy convexity
bullet and barbell structures
formulating positioning strategy given a market view
duration positioning in anticipation of a parallel upward shift
portfolio positioning in anticipation of a change in interest rates direction uncertain
performance given a change in the yield curve
bullets and barbells
butterflies
using option to change convexity
inter-market curve strategies
comparing performance of duration-neutral portfolio
the baseline portfolio
the yield curve scenarios
extreme barbell vs laddered portfolio
extreme bullet
less extreme bullets vs laddered portfolio
extreme vs less extreme barbell
framework for evaluating yield curve trades