问题如下图：
选项：
A. 
B. 
C. 
解释：
考点在基础讲义哪一段啊
发亮_品职助教 · 2019年12月02日
嗨，努力学习的PZer你好：
在讲义第80页。如下图，蓝框部分：
这道题的Strategy 2是用Coupon-bearing债券来匹配单期负债，然后题目就问我们：匹配时用的是哪个Duration数据。
所以这道题其实考察的就是单期负债的匹配条件。
上图的蓝框就是匹配时对Duration的要求：资产的Macaulay duration等于负债的期限（Maturity）。
负债是一笔单期负债，所以其Maturity又等于Macaulay duration。原因是Macaulay duration衡量债券现金流发生的时间，而单期负债只有一笔现金流发生在到期日（Maturity），所以对于单期负债，Macaulay duration就等于其Maturity。
所以蓝框部分实际上匹配的是：资产的Macaulay duration = 负债的Macaulay duration。对应的就是答案选项C。
-------------------------------虽然现在很辛苦，但努力过的感觉真的很好，加油！
NO.PZ2019103001000031问题如下ug Kepler, the newly hirechief financiofficer for the City of Raor asks the puty financimanager, Hui Ng, to prepare analysis of the current investment portfolio anthe city’s current anfuture obligations. The city hmultiple liabilities of fferent amounts anmaturities relating to the pension fun infrastructure repairs, anvarious other obligations.Ng observes ththe current fixeincome portfolio is structureto matthe ration of ealiability. Previously, this structure causethe city to access a line of cret for temporary mismatches resulting from changes in the term structure of interest ratesKepler asks Ng for fferent strategies to manage the interest rate risk of the city’s fixeincome investment portfolio against one-time shifts in the yielcurve. Ng consirs two fferent strategies:Strategy 1: Immunization of the single liabilities using zero-coupon bon helto maturityStrategy 2: Immunization of the single liabilities using coupon-bearing bon while continuously matching ration.Whiration measure shoulmatchewhen implementing Strategy 2?A.Key rateB.Mofie.MacaulayC is correct. investor having investment horizon equto the bons Macaulration is effectively protecte or immunize from the first change in interest rates, because priancoupon reinvestment effects offset for either higher or lower rates.是因为single liab吗？那如果Multiple liab呢？
NO.PZ2019103001000031 能否下KEY RATE RATION不选的原因，谢谢！
NO.PZ2019103001000031 MofieMacaul C is correct. investor having investment horizon equto the bons Macaulration is effectively protecte or immunize from the first change in interest rates, because priancoupon reinvestment effects offset for either higher or lower rates. immunization的2个条件，PVa=PVL，=，是为了hee pririsk和ri risk带来的价格变动的影响，所以不是应该用的mify ration吗？mofy ration一样，这也利率变动，asset和liab的price变动一样，这也也能继续match了。为什么是mration，平均还款期呢？
NO.PZ2019103001000031 这道题我懂了，但是这两策略有什么区别呀
NO.PZ2019103001000031 MofieMacaul C is correct. investor having investment horizon equto the bons Macaulration is effectively protecte or immunize from the first change in interest rates, because priancoupon reinvestment effects offset for either higher or lower rates. 如果前者匹配，后者不也一样匹配吗？毕竟就差个1/（1+y）