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) a,b,and c.

Question

Quizplus · Accepted Answer

The problems with immunization mentioned in the question are duration assumptions, which are choices A and B, and the limitation of immunization to one interest rate change only, which is choice C. As all three choices are mentioned as problems with immunization, the correct answer is E- all of the above. Choice D is not related to the problems with immunization.

Some of the Problems with Immunization Are