NO.PZ2019070101000092
问题如下:
The table provides relevant information about four bonds in a portfolio, based on the table, the price value of a basis point for this portfolio is close to?
选项:
A.$65,341.15.
B.$77,518.65.
C.$73,124.38.
D.$72,647.90.
解释:
D is correct
考点:Bond Duration-DV01
解析:
effective duration=7.54
x 0.0001 x 96.35×1000000 = $72,647.9
请问是modified duration还是effective duration?