Chapter 7 - TO PRACTICB QUBSTIONS .&:I:Jr.:e know that...

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TO PRACTICB QUBSTIONS .&:I::Jr.::- e know that "::.9"/0 yield) = 136.1193 6.1% yield) = 133.2472 "'=-x::r;. = 136.1193 -133.2472 = 10 66 (134.6722)(0.001) . . is the same value computed for duration when a 20 basis point rate shock was used. Duration e for this bond regardless of whether the yield change used is 20 basis points or 10 basis points. Ids:n~- e know that ••••••.•. . -es err -.9% yield) = 101.1651 6.1% yield) = 98.8535 _ 1 EriE:: = 101.1651 - 98.8535 = 11 56 2(100)(0.001) . iiII:tim for this bond is 11.56. The approximate percentage price change for a 10 basis point increase in
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254 Introduction to the Measurement of Interest Rate Risk = -11.56 X 0.0010 X 100 = -1.156% b. The actual percentage price change from Exhibit 6 is -l.15%. Therefore the estimate is good. c. The approximate percentage price change for a 10 basis point decrease in interest rates is =-1l.56 x (-0.0010) x 100= 1.156% d. The actual percentage price change from Exhibit 6 is 1.17%. Therefore
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This note was uploaded on 11/06/2010 for the course ECON Econ taught by Professor Liasa during the Spring '10 term at University of San Francisco.

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Chapter 7 - TO PRACTICB QUBSTIONS .&:I:Jr.:e know that...

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