NO.PZ2023120801000073
问题如下：
A portfolio manager is assessing the interest rate risk of three
bonds as she considers making an investment of USD50 million. All three bonds
are issued on 1 June 2026 and mature on 1 June 2030, and they have the
following characteristics:
The modified
duration for Bond Two is closest to:
选项：
A.3.59
B.3.65
C.3.78
解释：
Correct Answer: B
time to receipt for semiannual payemnent: 在求duration & covexity 的时候time to receipt= 12...n 整数 而不是 0.2 1 1.5...n/2?
也因为time to receipt 是整数 annualized duration 要 除2 covexity 要除以4？
