|
ffice ffice" /> Correct answer is A)
|
Key Rate Durations |
|
Issue |
Value ($1,000's) |
weight |
3 mo |
2 yr |
5 yr |
10 yr |
15 yr |
20 yr |
25 yr |
30 yr |
Effective Duration |
|
Bond 1 |
100 |
0.10 |
0.03 |
0.14 |
0.49 |
1.35 |
1.71 |
1.59 |
1.47 |
4.62 |
11.4 |
|
Bond 2 |
200 |
0.20 |
0.02 |
0.13 |
1.47 |
0.00 |
0.00 |
0.00 |
0.00 |
0.00 |
1.62 |
|
Bond 3 |
150 |
0.15 |
0.03 |
0.14 |
0.51 |
1.40 |
1.78 |
1.64 |
2.34 |
2.83 |
10.67 |
|
Bond 4 |
250 |
0.25 |
0.06 |
0.00 |
0.00 |
0.00 |
0.00 |
0.00 |
0.00 |
0.00 |
0.06 |
|
Bond 5 |
300 |
0.30 |
0.00 |
0.88 |
0.00 |
0.00 |
1.83 |
0.00 |
0.00 |
0.00 |
2.71 |
|
Total Portfolio |
|
1.00 |
0.0265 |
0.325 |
0.4195 |
0.345 |
0.987 |
0.405 |
0.498 |
0.8865 |
3.8925 |
The portfolio key rate duration for a specific maturity is the weighted value of the key rate durations of the individual issues for that maturity. In this case, the 10-year key rate duration for the portfolio is:
(0.10)(1.35) + (0.20)(0.00) + (0.15)(1.40) + (0.25)(0.00) + (0.30)(0.00) = 0.345
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发表于 2009-5-6 15:09
| 
