one-year rate moves up by 9e, and the movements in intermediate rates are calculated by interpolation between 9e and 0. b) Estimate the percentage change in the portfolio value arising from the rotation? Table 1 Maturity yrs 1 2 3 4 5 7 10 T otal Partial duration 0.2 0.6 0.9
one-year rate moves up by 9e, and the movements in intermediate rates are calculated by interpolation between 9e and 0. b) Estimate the percentage change in the portfolio value arising from the rotation? Table 1 Maturity yrs 1 2 3 4 5 7 10 T otal Partial duration 0.2 0.6 0.9
MATLAB: An Introduction with Applications
6th Edition
ISBN:9781119256830
Author:Amos Gilat
Publisher:Amos Gilat
Chapter1: Starting With Matlab
Section: Chapter Questions
Problem 1P
Related questions
Question
12
1. Consider the partial durations as from the Table 1 below and:
-
a) Estimate the effect of a shift in the yield curve where the ten-year rate stays the same, the one-year rate moves up by 9e, and the movements in intermediate rates are calculated by interpolation between 9e and 0.
-
b) Estimate the percentage change in the portfolio value arising from the rotation?
Table 1
|
Maturity yrs |
1 |
2 |
3 |
4 |
5 |
7 |
10 |
T otal |
|
Partial duration |
0.2 |
0.6 |
0.9 |
1.6 |
2.0 |
−2.1 |
−3.0 |
0.2 |
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