Explanation:
Portfolio value after a 30 year shift = 900.525 − (−0.598) = 901.123
KR duration for a 30 year shift =
=
= −6.641
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| Value | Key Rate '01 | |
|---|---|---|
| Initial Curve | 900.525 | |
| 2-year Shift | 898.950 | 1.5750 |
| 5-year Shift | 900.302 | 0.2230 |
| 10-year Shift | 889.112 | 11.4130 |
| 30-year Shift | ? | −0.5980 |
| Total | 12.613 |
What are the portfolio’s value and key rate duration for a 30-year shift?
A
Portfolio’s value = 901.123; Key rate duration = -6.641
B
Portfolio’s value = 899.927; Key rate duration = -6.641
C
Portfolio’s value = 899.927; Key rate duration = 135.090
D
Portfolio’s value = 899.927; Key rate duration = -9.119
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