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A trader values off−the−run bonds using interpolated yield to maturity data from on−the−run bonds. How can one profit from this trader's valuation methodology when the yield curve is upward sloping?

A  Buy off−the−run bonds with above market coupons from the trader and sell to the trader off−the−run bonds with below market coupons.
B  Buy off−the−run bonds with below market coupons from the trader and sell to the trader off−the−run bonds with above market coupons.
C  Buy from the trader off−the−run bonds with above and below market coupons.
D  Sell to the trader off−the−run bonds with above and below market coupons.

什么是 market coupons？

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关键词：FRM Methodology interpolate methodolog Valuation FRM

答案是什么啊？我猜B。因为我觉得coupon高的，买来的价格就低

market coupons 就是一般的coupon吧，每一轮bond发行的票面coupon是不同的

选A   买高的coupon 卖低的 coupon

选A，解释没太看懂：
The duration of the off the run bonds with above market coupons is lower than the duration of on the run bonds with the same maturity . In an upward sloping yield curve ,the yield the trader is using to value these bonds is too high, resulting in a price which is too low. One can profit from this pricing error by buying these bonds from the trader. The duration of the off the run bonds with below market coupons is higher than the duration of on the run bonds with the same maturity. In an upward sloping yield curve, the yield the trader is using to value these bonds is too low, resulting in a price which is too high. One can profit from this pricing error by selling these bonds to the trader

解释看不懂，跟duration有啥关系？

有人解释一下么？

我也选a, 但是考虑的方式很不一样。

利率升高，债券价格随之降低。duration高的债券价格下降幅度比duration低的债券要大。

因为coupon rate越低，duration越高，所以coupon rate低的债券价格下降幅度比 coupon rate高的债券大。

所以对投资者有利的情况是
- 卖coupon rate低的债券
- 买coupon rate高的债券

7# doodoo_olt

了解你的意思，你所用的是 convexity。但好像没有用到 题目中条件，尤其是trader的定价失误。