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Suppose that the change in a portfolio value for a one?basis?point shift in the 1?, 2?, 3?, 4?, 5?, 7?, 10?, and 30?year rates are
- Suppose that the change in a portfolio value for a one?basis?point shift in the 1?, 2?, 3?, 4?, 5?, 7?, 10?, and 30?year rates are (in $ millions) -3, -2, -1 , +1, +3, +5, +7, and +8, respectively. Estimate the delta of the portfolio with respect to the first three Principal Component factors of the following Table. Quantify the relative importance of the three factors for this portfolio.
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Investments
Authors: Zvi Bodie, Alex Kane, Alan J. Marcus
10th edition
77861671, 978-0077861674
