Multiple Liability Immunization

CFA Level III
#1

Weired i see only 2 requirments for it 1) Duration is matched 2) Distribution of durations is wider for the portfolio i am sure #3 - PV has to be matched is missing

#2

Isn’t it Aggregate duration that has to be matched?

#3

yes aggregate duration

#4

It’s weighted avg duration that’s matched. But I agree, matched PV is needed too.

#5

I hope this isn’t a dumb question, but doesn’t it go hand in hand if duration is matched, PV is matched?

#6

Well, you can have a bond portfolio with a value of $10 with a duration of 5, right? And you can have a bond portfolio with a value of $10 million with a duration of 5, right? Same duration, different PVs.

#7

Yeah…duh. Out thinking myself there.

#8

TooOld4This Wrote: ------------------------------------------------------- > It’s weighted avg duration that’s matched. But I > agree, matched PV is needed too. ^ - Bang on…