CFA Practice Question
A 2%, 30-year bond is being valued at a 6% flat yield curve with 20% interest rate volatility. The bond is putable in 10 years. Its 10-year key rate duration is MOST LIKELY to be?
A. -0.72
B. 9.92
C. 0.93
Explanation: The low-coupon bond is almost certain to be put. It behaves like an option-free 10-year bond.
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