题目
What assumptions does a duration-based hedging scheme make about the way in which interest rates move?
选项
A.All interest rates change by the same amount.
B.A small parallel shift in the yield curve.
C.Any parallel shift in the term structure.
D.Interest rates movements are highly correlated.
答案
B
解析
Duration provides an accurate description of price movements only over small changes in yield In addition, in order to hedge instruments of different durations, the implicit assumption is that yield changes are the same over the different durations being hedged (i.e., a parallel yield curve shift). duration based hedging特指的是在利率期限结构平行移动的情况。不要被他的名字给唬住了。这题问的是用duration做对冲，它的假设基础是什么？这个知识很综合，是隐含在我们的第三、四门课程中。 之所以能用duration做对冲，1.利率变化是不能很大的（如果利率变化大，还要考虑凸性的）。2.利率曲线是平行移动的（parallelshift），如果是非平行移动，要用keyrate duration。