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【金融市场与产品】FRM一级每日一题

发表时间:2015-02-06 来源:金程frm 告诉小伙伴:
【编者按】

Regarding the effects of interest rate shift on fixed-income portfolios with similar durations,which of the following statements is not wrong?

  • A barbell portfolio has greater convexity than a bullet portfolio because convexity increases linearly with maturity.
  • A barbell portfolio has greater convexity than a bullet portfolio because convexity increases with the square of maturity.
  • A barbell portfolio has lower convexity than a bullet portfolio because convexity increases with the square of maturity.
  • A barbell portfolio has lower convexity than a bullet portfolio because convexity increases linearly with maturity.

Answer: B

The statement compares two portfolios with the same duration. A barbell portfolio consists of a combination of short-term and long-term bonds. A bullet portfolio has only medium-term bonds. Because convexity is a quadratic function of time to wait for the payments, the long-term bonds create a large contribution to the convexity of the barbell portfolio, which must be higher than that of the bullet portfolio.

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