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　　6.      EXAMPLE 30.5: RISKS IN FIXED-INCOME ARBITRAGE
　　Identify the risks in a fixed-income arbitrage strategy that takes long positions in interest rate swaps hedged with short positions in Treasuries.
　　A.     The strategy could lose form decreases in the swap – Treasury spread.
　　B.     The strategy could lose from increases in the Treasury rate, all else fixed.
　　C.     The payoff in the strategy has negative skewness.
　　D.     The payoff in the strategy has positive skewness.
　　Answer: C