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Quantitative Finance · Glosarium

Apa itu Steepener, flattener, curve fly?

Dikenal juga sebagai: steepener · flattener · curve fly

Definition 31.4 Markets II: Rates, FX and Credit · Bab 31 — Reading a Macro Calendar and a Rates Screen

A steepener is a position that gains when the yield curve steepens, typically long a shorter bond and short a longer one with equal DV01; a flattener is the opposite. A curve fly is a position in three maturities, long or short the middle against the two wings, sized to be neutral to the level and slope of the curve; its price is measured by twice the middle yield minus the two wings.

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