CFAI III 2016 AM Mock Multiple Choice -- Application of Derivatives - Watanabe

CFA Level III Derivatives
#1

I am specifically referring to the ‘Application of Derivatives - Watanabe’ vignette from the CFAI III 2016 AM Mock Multiple Choice…

Why do you use the cash duration of .25 in question #31, but not in question #32? I would think the cash duration would be used in both calculations…

Thanks!

#2

Inconsistencies like this arise in practice and mock exams, not in the real exam. Somebody blew it.

Use zero for the duration of cash unless they tell you otherwise.

#3

Thank you, Magician.

#4

You’re welcome.