题目
The following table provides the initial price of a C-STRIP and its present value after application of a one basis point shift in four key rates.「huixue_img/importSubject/1564170384855666688.png」What is the key rate ’01 and key rate duration for a 30-year shift?
选项
A.0.02438.60
B.0.02441.13
C.0.10315.80
D.0.10341.13
答案
D
解析
这道题的答案是：「huixue_img/importSubject/1564170384931164160.png」 key rate 01=－1/10000×(25.01254－25.11584)/(0.01%)=0.103 key rate duration=0.103×10000/25.11584=41.13