Question: What assumptions does a duration-based hedging scheme make about the way in which interest rates move? a. All interest rates change by the same amount.

What assumptions does a duration-based hedging scheme make about the way in which interest rates move?

a. All interest rates change by the same amount.

b. A small parallel shift occurs in the yield curve.

c. Any parallel shift occurs in the term structure.

d. Interest rates’ movements are highly correlated.

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