问一道题：NO.PZ2018123101000094

问题如下：

Note: BI bond has a remaining maturity of three years, annual coupon payments, and a credit rating of BBB. Which key rate duration is the largest for the BI bond?

选项：

One-year key rate duration

Two-year key rate duration

Three-year key rate duration

解释：

C is correct.

考点：key rate duration的理解。

解析：

BI债券是不含权债券 （ Option-free bond ） 。 对其影响最大的关键利率久期将是其到期的年份 ， 因为对于该债券 ， 到期时的现金流影响最大 ， 进而改点的Key rate duration影响最大 。