题目
Using key rates of 2-year, 5-year, 7-year, and 20-year exposures assumes all of the following except that the:
选项
A.2-year rate will affect the 5-year rate
B.7-year rate will affect the 20-year rate
C.5-year rate will affect the 7-year rate
D.2-year rate will affect the 20-year rate
答案
D
解析
Key rate exposures assume that key rates chosen adjacent to the rate of interest are affected, not across other key rates.一个关键利率的移动，只会影响相邻的两个关键利率之间的利率变动，而2年期关键利率和20年期关键利率是不相邻的，所以2年期关键利率不会影响20年期关键利率。