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2019 FRM Part I 全部课程:知识模块精讲+复习强化+模拟题讲解
2019 FRM Part II 全部课程:知识模块精讲+复习强化+模拟题讲解
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Key rates 01 question

41.A risk manager is long a portfolio of  non-callable bonds and wants to protect it against interest rate risk using two additional bonds, Bond A and Bond B. Given the following information, what positions would the risk manager have to take in Bond A and Bond B to create a portfolio immunized to small changes in the 5-year and 10-year key rate?

Key Rates 01s(USD 100 Face)
Bond A  5-year 0.0125  10-year  n.a.
Bond B  5-year 0.0475  10-year  0.08
Portfolio 5-year 3.75     10-year 11.22

           Bond A                 Bond B
A.long USD23,295   short USD14,025
B.short USD23,295  long  USD14,025
C.long USD30,000   short USD23,788
D.short USD30,000   long USD3,788

The answer is B.
請問為什麼是B? Bond A & Bond B 的利率變動不是和 Portfolio同向嗎? 所以Bond B應該要是short? 如答案A

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