Financial Risk Manager Part 1
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Which of the following is TRUE?
A
If a consol (perpetual) bond with a $100 face value pays a 3.0% coupon in perpetuity and the yield is 5.0%, the consol’s price is $60 and its modified duration is 20 years.
B
Since a BARBELL bond portfolio has greater convexity than a BULLET, the barbell always outperforms
C
Duration, convexity and DV01 are all (each) increasing with maturity
D
Portfolio duration is weighted average of individual (component) durations but portfolio convexity is not a weighted average of individual convexities