NO.PZ201812020100000503
问题如下：
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.
B.price effect being greater than the coupon reinvestment effect.
C.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.
老师我在想如果是downward的呢？是不是也是相互抵消的啊，如果investment horizon=Maclay D，那么就会完全相互抵消，对吗？
