Reading 13 - more mistakes?

[Ljosh]

Exhibit 24 on page 34 says that a long bond put option decreases portfolio duration and convexity.

I’ve read in numerous places that long put options on bonds increase in value as the underlying decrease. This reduces downside as bond prices decline and rates increase meaning less downside and more convexity.

[S2000magician]

@Ljosh

Exhibit 24 on page 34 says that a long bond put option decreases portfolio duration and convexity.

I’ve already sent an erratum to CFA Institute about this.

You’re correct: long put options decrease duration and increase convexity.