Calculating portfolio duration as the weighted average of time to receipt of the aggregate cash flows:

A. accommodates portfolios that include callable bonds.

B. facilitates the evaluation of the effect of benchmark yield changes on portfolio value.

C. results in a theoretically correct but less commonly used measure of portfolio interest rate risk.

解析：選C。通常久期的計(jì)算是單個(gè)債券久期的加權(quán)平均值，題干中的做法不常用，但理論上正確。A項(xiàng)，為*現(xiàn)金流確定性，不能包括嵌入期權(quán)或FRN。B項(xiàng)，現(xiàn)金流收益率的變化可能與基準(zhǔn)收益率不同，所以”有助于“的說(shuō)法不正確。


Which ... relating to yield volatility is most accurate? If the term structure of yield volatility is downward sloping, then:

A. short-term rates are higher than long-term rates.

B. long-term yields are more stable than short-term yields.

C. short-term bonds will always experience greater price fluctuation than long-term bonds.

解析：選B。題干設(shè)定收益率波動(dòng)(yield volatility)的期限結(jié)構(gòu)向下傾斜，因此短期收益率波動(dòng)高于長(zhǎng)期收益率波動(dòng)，即長(zhǎng)期收益率較為穩(wěn)定。A項(xiàng)說(shuō)的是 rates，C項(xiàng)說(shuō)的是 price，和 yield 不能等同。

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