NO.PZ2016070201000096
问题如下：
John’s portfolio has a fixed-income position with market value of USD 70 million with modified duration of 6.44 years and yielding 6.7% compounded semiannually. If there is a positive parallel shift in the yield curve of 25 basis points, which of the following answers best estimates the resulting change in the value of John’s portfolio?
选项：
A.USD -11,725.
B.USD -1,127,000
C.USD -1,134,692.
D.USD -1,164,755.
解释：
B is correct.
考点：Interest Rate Risk
解析：ΔP=-Dmod*P*Δy=-6.44*70million*0.0025=-1,127,000。
如果这道题给的是mac.D。 是除以1+6.7%/n， 这里的n是2吗，因为债券是semi-compounded? 还是说这个n指的是债券的到期年份？
