USD Interest Rate Swaption Strategies During the Unconventional Monetary Policy and Pandemic Eras
研究了非常规货币政策和疫情时期美元利率互换期权跨式策略的表现，提出一种等权重策略，在非常规货币政策时期比传统策略获得更高夏普比率，且结果稳健。
ABSTRACT This study investigates the performance of USD interest rate swaption straddle strategies during the unconventional monetary policy and pandemic eras. We construct long–short portfolio swaption straddles using longer tenors and maturities than those in the previous literature. Moreover, we propose an equally weighted strategy that takes risk exposures to both volatility and jump risks. This strategy generates a higher Sharpe ratio than the delta–gamma neutral strategy during the unconventional monetary policy period. This result is weakly associated with spot swap forward rate jumps and robust, including transaction costs. We also observe that adopting longer maturity swaptions in the long position leads to higher values of risk and returns.