- CFA Exams
- CFA Level I Exam
- Study Session 15. Fixed Income (2)
- Reading 46. Understanding Fixed-Income Risk and Return
- Subject 2. Macaulay, Modified and Effective Durations
CFA Practice Question
What is the interest rate risk, in percentage price change, of a semi-annual-pay 9%, 15-year bond with an 8.5% yield if rates increase by 60 basis points?
A. -4.80%
B. -4.55%
C. 4.80%
Explanation: Current Price = 104.19, Full Valuation = 99.19, % Change = -4.80%
User Contributed Comments 5
| User | Comment |
|---|---|
| kalps | Surely this is wrong becos 60 basis points is 0.06% as 100bp is 1% - am i wrong or what ?? |
| kalps | sorry ignore my last comment it is getting close to the exam and i am going mad !!! |
| ilic26 | where does current price and full valuation come from? can someone help? |
| danlan | First, with N=30, I=4.25, PMT=4.5, and FV=100, we get PV=-104.19 If we change I=4.55, then we get PV=-99.19 |
| mpapwa22 | Yap...Danlan is the man. Thts exactly what it is |