题目
A portfolio has the following composition: I Bond portfolio A: price $90,000, modified duration 2.5, long position in 8 bonds II Bond portfolio B: price $110,000, modified duration 3, short position in 6 bonds III Bond portfolio C: price $120,000, modified duration 3.3, long position in 12 bonds Interest rates are 10%.If the rates rise by 25 basis points, 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
Answer: A「huixue_img/importSubject/1564170384788557824.png」
△P = -3.048 × 1500000 × 0.0025 =-11430 久期的相关计算参照。△P = -3.048 × 1500000 × 0.0025 = -11430