A fixed income portfolio manager owns a $4 million
A fixed income portfolio manager owns a $4 million par value non-callable bond. The bond’s duration is 5.4 and the current market value is $4,125,000. The dollar duration of the bond is closest to:
A.200,000.
B.216,000.
C.222,750.
参考解答
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2024-11-14 17:37:00
Ans:C;
Dollar duration is the price change in dollars in response of a change in yield of 100 basis points (1%).
Dollar Duration = Duration x0.01xMarket Value
=5.4x0.01x$4,125,000
=222,750
=
=
=5.92
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