【单选题】Vijay Ranjin,CFA, is a portfolio manager with Golson Investment Group. He manages a fixed-coupon bond portfolio with a face value of $ 120. 75 million and a current market value of $116. 46 million. Golson’s economics department has forecast that interest rates are going to change by 50 basis points.Based on this forecast, Ranjin estimates that the portfolio’s value will increase by $2. 12 million if interest rates fall and will decrease by $2.07 million if interest rates rise. Which of the following choices is closest to the portfolio’s effective duration
A、
A、3.6. |
B、
B、0.4. |
C.
C、2.9. |
网考网参考答案:A
网考网解析:
Effective duration = ( price when interest rates fall - price when interest rates rise)/(2 × initial price × basis point change) = (118.58-114.39)/(2×116.46×0.005)=3.60. document.getElementById("warp").style.display="none"; document.getElementById("content").style.display="block"; 查看试题解析出处>>
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