问题如下:
A Canadian pension fund manager seeks to measure the sensitivity of her pension liabilities to market interest rate changes. The manager determines the present value of the liabilities under three interest rate scenarios: a base rate of 7%, a 100 basis point increase in rates up to 8%, and a 100 basis point drop in rates down to 6%. The results of the manager’s analysis are presented below:
The effective duration of the pension fund’s liabilities is closest to:
选项:
A.1.49.
B.14.99.
C.29.97.
解释:
B is correct.
The effective duration of the pension fund’s liabilities is closest to 14.99. The effective duration is calculated as follows:
PV0= 455.4, PV+= 373.6, PV-= 510.1, and ΔCurve = 0.0100
为什么ΔCurve = 0.0100?分母还要乘以2?