问题如下：
A European bond portfolio manager wants to increase the modified duration of his €30 million portfolio from 3 to 5. She would most likely enter a receive-fixed interest rate swap that has principal notional of €20 million and:
选项：
A. a modified duration of 2.
B. a modified duration of 3.
C. a modified duration of 4.
解释：
B is correct.
The portfolio manager’s goal is to use the receive- fixed, pay- floating swap such that the €30 million of bonds, with modified duration of 3, and the €20 million swap will combine to make up a portfolio with a market value of €30 million and modified duration of 5. This relationship can be expressed as follows:
€30,000,000(3) + (NS × MDURS) = €30,000,000(5).
Given the swap’s notional (NS) of €20,000,000, its required modified duration can be obtained as:
MDURS = [(5 – 3)€30,000,000]/€20,000,000 = 3.
请问这个是哪个知识点呀？在讲义第几页？谢谢
