题目
A bond portfolio has the following compositions: Portfolio A: price $90,000, modified duration 2.5, long position in 8 bonds; Portfolio B: price $110,000, modified duration 3, short position in 6 bonds; Portfolio C: price $120,000, modified duration 3.3, long position in 12 bonds; All interest rates are 10%. If the rates rise by 25 bps, then the bond portfolio value will
选项
A.Decrease by $11,430
B.Decrease by $21,330
C.Decrease by $12,573
D.Decrease by $23,463
答案
A
解析
△P = -3.048 × 1500000 × 0.0025 = -11430「huixue_img/importSubject/1564169527825141760.png」