Which of the following is a characteristic of a bullet portfolio?
A) Holding zero- coupon bonds with terms and duration equal to the duration of the benchmark.
B) If the interest rates change, the gains and losses on the portfolio will approximately match those of the benchmark.
C) It consists of two zero- coupon bonds with average duration equal to the duration of the benchmark.
D) A and B.
Correct Answer:
Verified
Q34: Duration gaps can be altered with the
Q35: When DGAP < 0, DA is below
Q36: When hedging with DGAP, if the yields
Q37: Duration gap is equal to:
A) DA +
Q38: The 'additive property' of duration says that
Q40: The number of futures contracts (N) necessary
Q41: When DGAP = 0, a change in
Q42: Ensuring a known cost of funding is
Q43: DGAP protects us against uniform changes in
Q44: The duration of a coupon bond increases
Unlock this Answer For Free Now!
View this answer and more for free by performing one of the following actions
Scan the QR code to install the App and get 2 free unlocks
Unlock quizzes for free by uploading documents