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The question asks for the duration of the portfolio, so the denominator is 100m.
This is a typical CFAI question, it actually gives you the leveraged portfolio's change in value for 1% rate change, and the amount of equity.
It seems tht it assumes the duration of liabilities (repo agreement) is 0. Please confirm...
Edited 1 time(s). Last edit at Sunday, May 8, 2011 at 04:42PM by deriv108. |
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发表于 2011-7-11 19:15
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