A treasurer knows the weighted average duration of assets of the firms is 7.82, the weighted average duration of liability is 2.22, the size of the assets is $7,862 million, and the size of the liability is $6,330 million. She wants to calculate how the value of the firm’s assets will change for a relative upward shift in the entire yield curve of 0.15 percent (ΔR=0.15%). The change in the market value of assets due to this change in interest rate will be:

Select one:

a.$88 million

b.-$70 million

c.$82 million

d.$56 million

e.-$92 million