Hi people, I have tried going through this example for quite some time and I still don’t really understand what it meant by “a Positive one Standard Deviation Move” on the yield curve.
_ "The first step is to calculate the impact of each of the three main types of yield curve movements - each one a positive one standard deviation move - on the value of each portfolio. _
_ Summarize and explain the pattern of returns resulting from each type of movements." _
Solution to the question gave a 1. Positive shift in yield curve, 2. Flattening twist & 3. Positive Butterfly
How does a “Positive one Standard Deviation Move” translate to 1. Positive shift in yield curve, 2. Flattening twist & 3. Positive Butterfly?
Thank you.
Best Regards, Nirnek