
Explanation:
The key rate duration is calculated as:
(Book 4, Module 59.2, LO 59.d)
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Question 23
Key rate shift analysis makes the simplifying assumption that all rates can be determined as a function of a few key rates. Given the following information, what is the key rate duration of the 10-year shift?
| Value | |
|---|---|
| Initial value | 25.11584 |
| 2-year shift | 25.11681 |
| 5-year shift | 25.11984 |
| 10-year shift | 25.13984 |
| 30-year shift | 25.01254 |
A
−1.01
B
−2.51
C
−3.98
D
−9.56
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