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标题: 急问:?? [打印本页]

作者: xiongxiong    时间: 2005-11-30 17:21     标题: 急问:??

There was a question about a portfolio having an average duration of 5.xx. Then there were 4 choices about what situation would make the estimated duration closest to the actual duration (or something like that).

a. Interest rates move 5 basis points for every bond in portfolio

b. Interest rates AVERAGE 5 basis points for all bonds in portfilo

c. Interest rates move 100 basis points for every bond in portfolio

d. Interest rates AVERAGE 100 basis points for all bonds in portfilo

选哪个?


作者: ditto025    时间: 2006-4-15 08:12

选A 了,注意DURATION在利率变化较小,以及收益曲线平行移动是,估计才较为正确




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