8.12. Use the partial durations in Table 8.5 to calculate the impact of a shift in the yield curve on a $10 million portfolio where the 1-, 2-, 3-, 4-, 5-, 7-, and 10-year rates increase by 10, 8, 7, 6, 5, 3, and 1 basis points respectively. 8.13. How are “dollar duration” and “dollar convexity” defined? 8.14. What is the relationship between (a) the duration, (b) the partial durations, and (c) the DV01 of a portfolio?
Solution ID:10137792 | Question answered on 16-Oct-2016
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