Which of the Following Statements About the Limitations of Duration

Multiple Choice

Which of the following statements about the limitations of duration analysis is incorrect?

A) It assumes that the term structure of interest rates changes by an equal number of basis points.
B) It assumes that the yield curve is always upward-sloping.
C) Duration needs to be regularly recalculated as interest rates change.
D) The pricing of fixed-interest securities displays convexity.