NO.PZ2018120301000024
问题如下：
To illustrate SD&R’s immunization approach for controlling portfolio interest rate risk, Molly discusses a hypothetical portfolio composed of two non-callable, investment-grade bonds. The portfolio has a weighted average yield- to-maturity of 9.55%, a weighted average coupon rate of 10.25%, and a cash flow yield of 9.85%.
The two-bond hypothetical portfolio’s immunization goal is to lock in a rate of return equal to:
选项：
A.9.55%.
B.9.85%.
C. 10.25%.
解释：
Correct Answer: B
B is correct. Immunization is the process of structuring and managing a fixed-income portfolio to minimize the variance in the realized rate of return and to lock in the cash flow yield (internal rate of return) on the portfolio, which in this case is 9.85%.
在强化班《Duration Matching: principles and conditions》这门课30分钟（1.5倍速）的时候，何老师讲： cash flow yield 就是整个组合里每只债券的ytm的加权平均。这个题已经给已知条件，ytm的加权平均和cash flow yield 不是一个数。请问为什么？谢谢
