NO.PZ201812020100000503
问题如下：
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：
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 in the case of an upward shift in the yield curve for an immunized liability.
如果此题目种upward shift并非特指平行移动，那为什么还是A选项正确呢？
虽然有一些非平行移动的影响免疫策略也可以完全抵消，但都是特例吧，不能像A选项说的，是最有可能的就是被抵消，反而是大概率无法抵消
比如虽然长短期利率都上升，但短期小幅上升，长期大幅上升，这种upward shift就无法被抵消
如果是这种情况那price risk和reinvestment risk哪个影响更大一点？
