NO.PZ2019070101000054
问题如下:
The following table gives information about a zero-coupon bond. Based on the table, the key rate duration for a 10-year shift is close to?
选项:
A.
-6.76.
B.
6.76.
C.
-4.84.
D.
4.84.
解释:
D is correct
考点:Key Rate Duration
解析:
key rate duration for a 10-yr shift
= - 1/initial value× (10-year shift for 1 bp - initial value)/1bp
= - 1/87.1876 ×(87.1454-87.1876)/0.01%=4.84
这个久期公式前有负号吗?我算的是4.84正的