Vijay Ranjin, CFA, is a portfolio manager

问题单项选择题

Vijay Ranjin, CFA, is a portfolio manager with Golson Investment Group. He manages a fixed-coupon bond portfolio with a face value of $ 120. 75 million and a current market value of $116. 46 million. Golson’s economics department has forecast that interest rates are going to change by 50 basis points. Based on this forecast, Ranjin estimates that the portfolio’s value will increase by $2. 12 million if interest rates fall and will decrease by $2.07 million if interest rates rise. Which of the following choices is closest to the portfolio’s effective duration（）

A. 3.6.

B. 0.4.

C. 2.9.

答案

参考答案：A

解析：

Effective duration = ( price when interest rates fall - price when interest rates rise)/(2 × initial price × basis point change) = (118.58-114.39)/(2×116.46×0.005)=3.60.