FRM一级易错题精选：A portfolio manager needs

时间：2018-02-26 16:25 作者：FRM 来源：FRM

A portfolio manager needs to hedge a USD 115 million liability. The portfolio manager is deciding between investing only in the 3%-coupon Treasury bond in the table below, or in a portfolio consisting of the shorter

maturity 2%-coupon Treasury bond and the longer maturity 4.5%-coupon Treasury bonds.

The convexity of the barbell portfolio that will match the duration and price of the bullet position will be closest to:

A. 60

B. 74

C. 83

D.93

Answer: D

The barbell portfolio and the bullet portfolio may have the same duration but different convexity.