Q6. Assuming rates change as described by Akron and based on Exhibit 3, the impact on the portfolio as outlined in Module 6 would be most likely be a loss in value from changes in:
A. level and a loss from changes in steepness.
B. level and a gain from changes in steepness.
C. steepness and a gain from changes in curvature.
Solution
A is correct. A parallel shift of the yield curve would result in a loss across each key rate duration given a sensitivity of 1. For example, a 100 basis point (bp) parallel shift would generate an approximately 4.7% loss in value. A flattening of the yield curve in the long end would result in a loss given a sensitivity of −1. For example, a 100 bp decline in the 30-year key rate duration would result in a loss of approximately 2.9% (−100 ×−1 ×−8.7 × 0.333). There is no impact from curvature, since the curve did not “twist.”
这里30年期下降100bp，价格变动难道不是-（8.7*（-1）），是个正数，怎么会是loss呢？
