Explanation:
With the two-year shift, the key rate duration is:
(Book 4, Module 59.3, LO 59.g)
Ultimate access to all questions.
Question 66
After the application of key rate one basis point shifts, the following C-STRIP present values are computed for a 30-year zero-coupon bond. Given this information, what is the key rate duration after the two-year shift?
| Value |
|---|
| Initial curve |
| 2-year shift |
| 5-year shift |
| 10-year shift |
| 30-year shift |
A
−0.39.
B
−0.96.
C
−1.25.
D
−2.42.
No comments yet.