No.PZ2024030506000071 (选择题)来源:
A risk manager at a bank is measuring the sensitivity of a bond portfolio to non-parallel shifts in spot rates. The portfolio currently holds a 4-year zero coupon bond and a 7-year zero coupon bond with the following sensitivities to these respective spot rates:
To model the non-parallel movement of the spot rate curve, the manager treats the 2-year, 5-year, and 10-year spot rates as key rates. Given this information, what is the portfolio’s key rate 01 (KR01) for a 1-bp increase in the 5-year rate?
您的回答A, 正确答案是: C
A不正确AUD 184.06
BAUD 226.99
CAUD 307.66
DAUD 491.72
按老师在试卷解析视频里的解答， 四年离七年相隔3年，第五年离第四年比较近，离七年比较远，所以是：四年价格*2/3+七年价格*1/3
但是按照这个公式算得226.99（答案B）,不是题目中的正确答案C，求解答
