NO.PZ2018120301000032
问题如下：
Doug,
the newly hired chief financial officer for the City of Radford, asks the
deputy financial manager, Hui, to prepare an analysis of the current
investment portfolio and the city’s current and future obligations. The city
has multiple liabilities of different amounts and maturities relating to the
pension fund, infrastructure repairs, and various other obligations.
Hui
observes that the current fixed-income portfolio is structured to match the
duration of each liability. Previously, this structure caused the city to
access a line of credit for temporary mismatches resulting from changes in the
term structure of interest rates.
Doug asks Hui for different strategies to manage the interest rate risk of the city’s fixed-income investment portfolio against one-time shifts in the yield curve. Hui considers two different strategies:
An
upward shift in the yield curve on Strategy 2 will most likely result in the:
选项：
A.price effect cancelling the coupon reinvestment effect.
B.price effect being greater than the coupon reinvestment effect.
C.Coupon reinvestment effect being greater than the price effect.
解释：
Correct Answer: A
A is correct. An upward shift in the yield curve reduces the bond’s value but increases the reinvestment rate, with these two effects offsetting one another. The price effect and the coupon reinvestment effect cancel each other out in the case of an upward shift in the yield curve for an immunized liability.
为什么using coupon-bearing bonds就需要→continuously matching duration呢？
正常来说coupon-bearing bonds的麦考利久期应该不会变化的吧？为啥要动态调整去match
