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Basic Question 2 of 3
Consider the following portfolios comprised of 2-year, 5-year and 10-year zero-coupon bonds. D(n) is the key rate duration for the n-year part of the yield curve.
If the 2-year key rate shifts up 10 basis points and the 10-year rate shifts down 10 basis points, the value of the portfolio will change by ______.
User Contributed Comments 3
| User | Comment |
|---|---|
| Teeto | D(2) is 5, how comes its 0.5x(-10/100) ? D(10) is not present in the table. If D(3) is used instead of (D10) (why?) then total value considering the first line does not change. Chances are I got the question wrong. |
| sarasyed5 | see the values in the bottom most row @teeto |
| davidt87 | Teeto D(1) corresponds to the 2-year, D(2) to the 5-yr... etc. |
You have a wonderful website and definitely should take some credit for your members' outstanding grades.
Colin Sampaleanu
Learning Outcome Statements
define key rate duration and describe its use to measure price sensitivity of fixed-income instruments to benchmark yield curve changes
CFA® 2026 Level I Curriculum, Volume 4, Module 13.