CFA Practice Question

There are 147 practice questions for this study session.

CFA Practice Question

A portfolio is comprised of the following 3 bonds:

Bond | Maturity | Coupon | Duration | Weight
Bond A | 22 | 6% | 9.1 | 20%
Bond B | 17 | 7% | 7.5 | 50%
Bond C | 8 | 8% | 3.3 | 30%

What is the portfolio's key rate duration at the 17 year maturity mark?
A. -6.56
B. 3.75
C. 6.56
Explanation: Key rate duration = wB DB (at 17 year maturity mark) = 0.5 * 7.5 = 3.75.

User Contributed Comments 1

User Comment
siggarusfigs his doesnt make sense to me... doesn't duration change as you go through time. after 17 years, shouldn't the duration be much lower, and the other issues expired
You need to log in first to add your comment.