Explanation:
The key-rate duration for the 30-year shift can be calculated as follows:
(Book 4, Module 59.3, LO 59.g)
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Question 48
The following table provides the initial price of a C-STRIP, as well as its present value after application of a one basis point shift in four key rates:
| Rate Shift | Value |
|---|---|
| Initial value | 25.23168 |
| 2-year shift | 25.23362 |
| 5-year shift | 25.23968 |
| 10-year shift | 25.27968 |
| 30-year shift | 25.12508 |
The key-rate duration for a 30-year shift is closest to:
A
−9.1.
B
31.6.
C
42.3.
D
81.9.
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