(Answered)-8. You have been provided the following key rate shifts for a five-year bond t Spot Rate Key Rate...

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8.   You have been provided the following key rate shifts for a five‐year bond     t Spot Rate Key Rate Shift   1 0.16% 0.16%   2 0.26% 0.26%   3 0.38% 0.38%   4 0.58% 0.58%   5 0.77% 0.77%   6 1.00% 1.00%   7 1.22% 1.22%   8 1.41% 1.41%   9 1.60% 1.60%   10 1.79% 1.79%   11 1.86% 1.86%   12 1.94% 1.94%   13 2.01% 2.01%   14 2.09% 2.09% (continued) t Spot Rate Key Rate Shift   15 2.16% 2.16%   16 2.23% 2.23%   17 2.31% 2.31%   18 2.38% 2.38%   19 2.46% 2.46%   20 2.53% 2.53%   21 2.57% 2.57%   22 2.61% 2.61%   23 2.65% 2.66%   24 2.69% 2.70%   25 2.74% 2.74%   26 2.78% 2.78%   27 2.82% 2.82%   28 2.86% 2.87%   29 2.90% 2.91%   30 2.94% 2.95%     What is the estimate for the 30‐year key rate duration for this five‐year bond assuming a 1bp increase in rates across the term structure?  

 

Solution ID:10137762 | Question answered on 16-Oct-2016

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