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Basic Question 2 of 14
Consider the following results for the valuation of a callable bond:
V0 = 100.525.
V+ = 99.968.
V- = 101.235.
dy = 50 basis points.
V0 = 100.525.
V+ = 99.968.
V- = 101.235.
The effective duration of the bond is:
User Contributed Comments 2
| User | Comment |
|---|---|
| jimmyvo | isn't this a level 1 question? this is far too easy for level 2. |
| Rva100 | no |
I am happy to say that I passed! Your study notes certainly helped prepare me for what was the most difficult exam I had ever taken.
Andrea Schildbach
Learning Outcome Statements
calculate and interpret effective duration of a callable or putable bond;
compare effective durations of callable, putable, and straight bonds;
describe the use of one-sided durations and key rate durations to evaluate the interest rate sensitivity of bonds with embedded options;
CFA® 2025 Level II Curriculum, Volume 4, Module 28.