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Basic Question 3 of 24
Which of the following portfolios would lose the least from a parallel shift up of 10 basis points in the yield curve?
User Contributed Comments 5
| User | Comment |
|---|---|
| rhardin | I know I should know this, but how do I calculate effective duration again? |
| bodduna | V- - V+/2vo*decimal yield |
| bodduna | Or Add all portfolio key rate durations of each maturity in the portfolio |
| ashish100 | Portfolio d duration = 30.7 (lowest) that's what I got at least |
| davidt87 | ashish i don't know how you got that. my understanding are that these are key rate durations for different points in the yield curve that must all add back to the asset's/portfolio's effective duration. so Portfolio D duration = 3 + 1 + 1 = 5 |
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Learning Outcome Statements
explain why effective duration and effective convexity are the most appropriate measures of interest rate risk for bonds with embedded options
calculate the percentage price change of a bond for a specified change in benchmark yield, given the bond's effective duration and convexity
CFA® 2025 Level I Curriculum, Volume 4, Module 13.