Which of the Following Statements About the Limitations of Duration

question 86

Multiple Choice

Which of the following statements about the limitations of duration analysis is incorrect?

• A) It assumes that the term structure of interest rates changes by an equal number of basis points.
• B) It assumes that the yield curve is always upward-sloping.
• C) Duration needs to be regularly recalculated as interest rates change.
• D) The pricing of fixed-interest securities displays convexity.

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