- CFA Exams
- CFA Level I Exam
- Topic 6. Fixed Income
- Learning Module 46. Understanding Fixed-Income Risk and Return
- Subject 5. Money Duration of a Bond and the Price Value of a Basis Point
CFA Practice Question
What is the duration estimate of the dollar price change for a 10%, 20-year bond with a modified duration of 9.969, selling at 132.03, when the yield changes by one basis point?
A. 0.09969
B. 0.1316
C. 9.969
Explanation: Approximate percentage price change = 9.969(.0001)(100) = .09969%
Approximate dollar price change =.09969%(132.03) = $0.1316
Approximate dollar price change =.09969%(132.03) = $0.1316
User Contributed Comments 1
| User | Comment |
|---|---|
| Ebenezer | Take note of the difference between the dollar price change and percentage price change. |