NO.PZ2019070101000092
问题如下:
The table provides relevant information about four bonds in a portfolio, based on the table, the price value of a basis point for this portfolio is close to?
选项:
A.
$65,341.15.
B.
$77,518.65.
C.
$73,124.38.
D.
$72,647.90.
解释:
D is correct
考点:Bond Duration-DV01
解析:
effective duration=7.54
x 0.0001 x 96.35×1000000 = $72,647.9
:effective duration怎么算出来的