袁同学2020-10-29 18:03:24

fixed income 真题的2010年的case6的第C问， Statement 2: “Whenever FT implements a multiple-liability immunization plan, the market value of the assets should be compared with the present value of the remaining liabilities by discounting the liabilities using zero coupon U.S. Treasury yields.” 这句话答案说是错误的，说应该用免疫组合的IRR作为折现率。 但是我记得在哪里老师讲过，负债基于保守的原则，要使用无风险利率折现，和这里怎么区分？