Seeing is believing!
Before you order, simply sign up for a free user account and in seconds you'll be experiencing the best in CFA exam preparation.
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 |
I used your notes and passed ... highly recommended!
Lauren
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.