Question 13:

A currency forward contract specifies all of the following EXCEPT:

A. the currencies to be exchanged.

B. the delivery date on which the exchange will take place.

C. the spot exchange rate.

D. the amount of currency to exchange.

Question 14:

Which of the following statements is FALSE?

A. When the durations of a firm's assets and liabilities are significantly different, the firm has a duration mismatch.

B. As interest rates change, the market values of the securities and cash flows in the portfolio change as well, which in turn alters the weights used when computing the duration as the

valueweighted

average maturity.

C. The duration of a portfolio of investments is the simple average of the durations of each investment in the portfolio.

D. Adjusting a portfolio to make its duration neutral is sometimes referred to as immunizing the portfolio, a term that indicates it is being protected against interest rate changes