问题如下：
Doug Kepler, the newly hired chief financial officer for the City of Radford, asks the deputy financial manager, Hui Ng, to prepare an analysis of the current investment portfolio and the city’s current and future obligations. The city has multiple liabilities of different amounts and maturities relating to the pension fund, infrastructure repairs, and various other obligations.
Ng observes that the current fixed-income portfolio is structured to match the duration of each liability. Previously, this structure caused the city to access a line of credit for temporary mismatches resulting from changes in the term structure of interest rates.
Kepler asks Ng for different strategies to manage the interest rate risk of the city’s fixed-income investment portfolio against one-time shifts in the yield curve. Ng considers two different strategies:
Strategy 1: Immunization of the single liabilities using zero-coupon bonds held to maturity
Strategy 2: Immunization of the single liabilities using coupon-bearing bonds while continuously matching duration.
An upward shift in the yield curve on Strategy 2 will most likely result in the:
选项：
A.price effect cancelling the coupon reinvestment effect.
price effect being greater than the coupon reinvestment effect.
coupon reinvestment effect being greater than the price effect.
解释：
A is correct.
An upward shift in the yield curve reduces the bond’s value but increases the reinvestment rate, with these two effects offsetting one another. The price effect and the coupon reinvestment effect cancel each other in the case of an upward shift in the yield curve for an immunized liability.
老师你好。没太理解这道题，
1、如果已经做好了duration match，那么收益率不论怎样变动，只一次的变动都能够免疫吗？
2、structure risk是指非平行移动而带来的不能免疫的风险，那么是不是发生了非平行移动，很大概率是不能够完全免疫的，不论是不是首次变动？
