NO.PZ2016082402000017
问题如下：
Which of the following statements is correct regarding the effects of interest rate shift on fixed-income portfolios with similar durations?
选项： A. A
barbell portfolio has greater convexity than a bullet portfolio because
convexity increases linearly with maturity.
B.
A barbell portfolio has greater convexity than a bullet portfolio because convexity increases with the square of maturity.
C.
A barbell portfolio has lower convexity than a bullet portfolio because convexity increases linearly with maturity.
D.
A barbell portfolio has lower convexity than a bullet portfolio because convexity increases with the square of maturity.
解释：
ANSWER: B
The statement compares two portfolios with the same duration. A barbell portfolio consists of a combination of short-term and long-term bonds. A bullet portfolio has only medium-term bonds. Because convexity is a quadratic function of time to wait for the payments, the long-term bonds create a large contribution to the convexity of the barbell portfolio, which must be higher than that of the bullet portfolio.
解析：关于利率变动对久期相似的固定收益投资组合的影响，以下哪项陈述是正确的？
现金流越分散，convexity越大，并且convexity随着期限的平方增加。
barbell现金流比bullet更分散。
这是基础课程哪一块知识，求解释。。
