Some of the problems with immunization are
A) duration assumes that the yield curve is flat.
B) duration assumes that if shifts in the yield curve occur, these shifts are parallel.
C) immunization is valid for one interest-rate change only.
D) durations and horizon dates change by the same amounts with the passage of time.
E) immunization is valid for one interest-rate change only, duration assumes that the yield curve is flat, and that if shifts in the yield curve occur, these shifts are parallel.

Question

Quizplus · Accepted Answer

The correct answer is E because it combines three accurate statements about the limitations of immunization: it is valid for a single interest-rate change, assumes a flat yield curve, and assumes parallel shifts in the yield curve if they occur.

Some of the Problems with Immunization Are