A rate anticipation swap is an exchange of bonds undertaken to
A. shift portfolio duration in response to an anticipated change in interest rates.
B. shift between corporate and government bonds when the yield spread is out of line with historical values.
C. profit from apparent mispricing between two bonds.
D. change the credit risk of the portfolio.
E. increase return by shifting into higher yield bonds.
A. shift portfolio duration in response to an anticipated change in interest rates.
A rate anticipation swap is pegged to interest-rate forecasting and involves increasing duration when rates are expected to fall and vice vers A.
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