问题如下:
Suppose par yield KR01s are calculated using five- and ten-year shifts in par yields. A portfolio has an exposure of +20 to a one-basis-point change in the seven-year par yield. Use linear interpolation to determine its par yield KR01s.
选项:
解释:
The KR01 for the five-year key rate is 0.6 × 20 = 12. The KR01 for the ten-year key rate is 0.4 × 20 = 8.
这道题麻烦老师画图讲解一下具体的答题过程和线性插值法的运用,谢谢