The convexity (CX) of a ZCB is given by:
A) CX = (Term) squared.
B) CX = (Term) squared + (Term) .
C) CX = (Term) × (market yield) squared.
D) CX = (Term) × (market yield) .
Correct Answer:
Verified
Q14: Insulating a portfolio from the effects of
Q15: Duration_ as the yield _.
A) increases; increases
B)
Q16: The sensitivity of a bond's price to
Q17: As the term of the security increases,
Q18: 'Duration' refers to:
A) the period of time
Q20: The prices of the securities are more
Q21: The cover ratio needs to be higher
Q22: A portfolio is exposed to interest rate
Q23: Convexity cannot be used to construct a
Q24: A 'bullet portfolio' is one where:
A) two
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