A limitation of calculating a bond portfolios duration as the weighted average of the yield durations of

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A limitation of calculating a bond portfolio’s duration as the weighted average of the yield durations of the individual bonds that compose the portfolio is that it:

A . assumes a parallel shift to the yield curve.

B . is less accurate when the yield curve is less steeply sloped.

C . is not applicable to portfolios that have bonds with embedded options.

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Fixed Income Analysis

ISBN: 9788126563128

3rd Edition

Authors: Barbara S. Petitt, Jerald E. Pinto, Wendy L. Pirie, Bob Kopprasch

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Question Posted: Oct 23, 2024 08:06 AM

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A limitation of calculating a bond portfolios duration as the weighted average of the yield durations of

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Fixed Income Analysis

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