题目
A limitation of calculating a bond portfolio’s duration as the weighted average of the yield durations of the individual bonds that compose the portfolio is that it:
选项
A.assumes a parallel shift to the yield curve.
B.is less accurate when the yield curve is less steeply sloped.
C.is not applicable to portfolios that have bonds with embedded options.
答案
A
解析
： A is correct. A limitation of calculating a bond portfolio’s duration as the weighted average of the yield durations of the individual bonds is that this measure implicitly assumes a parallel shift to the yield curve (all rates change by the same amount in the same direction). In reality, interest rate changes frequently result in a steeper or flatter yield curve. This approximation of the “theoretically correct” portfolio duration is more accurate when the yield curve is flatter (less steeply sloped). An advantage of this approach is that it can be used with portfolios that include bonds with embedded options. Bonds with embedded options can be included in the weighted average using the effective durations for these securities. ： 这道题目问的是债券组合久期计算为构成该投资组合的各个债券的久期加权平均值的限制是： A是正确的。债券投资组合久期计算的一个限制是，隐含地假定收益率曲线平行移动（所有利率在同一方向上的变化量相同）。实际上，利率的变化经常导致收益率曲线变陡或变平。当收益率曲线较平坦（坡度较小）时，“理论上正确”的投资组合久期的近似值更为准确。这种方法的一个优点是，它可以用于包含嵌入期权债券的投资组合。嵌入期权的债券可使用有效久期计入加权平均数。