CFA Practice Question

There are 252 practice questions for this study session.

CFA Practice Question

Consider the following results for the valuation of a callable bond:

dy = 50 basis points.
V0 = 100.525.
V+ = 99.968.
V- = 101.235.

The effective duration of the bond is:
Correct Answer: 1.26

(V- - V+ ) / (2 x V0 x dy) = (101.235 - 99.968) / ( 2 x 100.525 x 0.005) = 1.26.

User Contributed Comments 2

User Comment
jimmyvo isn't this a level 1 question? this is far too easy for level 2.
Rva100 no
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