CFA Practice Question

There are 266 practice questions for this study session.

CFA Practice Question

What is the duration estimate of the dollar price change for a 7%, 5-year bond with a modified duration of 4.158, selling at 100, when the yield changes by one basis point?
A. 0.04158
B. 0.2915
C. 4.158
Explanation: Approximate percentage price change = 4.158(.0001)(100) = .04158%
Approximate dollar price change =.04158%(100) = $.04158

User Contributed Comments 3

User Comment
jackwez %duration loss per 100 basis points...
Xocrevilo First part of the answer is same as the calc for PVBP (i.e. price value of a basis point) = (modified) duration x 1 basis point x bond price. Correct?
kellyyang I think so, I used the PVBP formula to obtain the answer!
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