- CFA Exams
- CFA Level I Exam
- Study Session 15. Fixed Income (2)
- Reading 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
A 10-year, 8% coupon bond has a modified duration of 4.1 and a convexity measure of 168. If this bond is currently trading at 101.25 of par, what is its price value of a basis point (PVBP)?
A. $0.0415
B. $0.1325
C. $0.415
Explanation: PVBP = 0.0001 * P0 D = 0.0001 * 101.25 * 4.1 = $0.0415
User Contributed Comments 1
| User | Comment |
|---|---|
| Jurrens | since it's such a small change, convexity is ignored |