NO.PZ2018122701000062
问题如下：
Given the following bond portfolios:
Which of the following statements is correct?
选项：
A. Portfolio 1 is a barbell portfolio.
B. Portfolio 2 is a bullet portfolio.
C. It is impossible for Portfolios 1 and 2 to
have the same duration.
D. Portfolio 2 will have greater convexity than
Portfolio 1.
解释：
D is correct.
考点Measures of Pricing Sensitivity Based on Parallel Yield Shifts
解析Since Portfolio 2 has more long-term bonds than short-term bonds and since convexity is related to the square of maturity, Portfolio 2 will have greater convexity. The other statements are incorrect. Portfolio 1 is a bullet portfolio (concentrated in intermediate maturities), and Portfolio 2 is a barbell. It is possible for a bullet and a barbell to have the same duration. In fact, adding the duration contribution of both portfolios gives a duration value of 8.15.
如题 D选项中的convexity怎么算
