Question
Immunization of a single liability involves matching the ____ of the liability and the underlying portfolio. A portfolio may not remain immunized to interest rate
Immunization of a single liability involves matching the ____ of the liability and the underlying portfolio. A portfolio may not remain immunized to interest rate changes if there are ____ shifts to the yield curve.
A. Maturity; non-parallel
B. Duration; non-parallel
C. Duration; parallel
D. Maturity; parallel
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Options Futures And Other Derivatives
Authors: John C. Hull
7th Edition
0136015867, 9780136015864
