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Suppose that the value of a protfolio increases by $50,000 for each on-basis-point increase in the 12-year rate and has no other sensitivities.The multiple-vertex approach
Suppose that the value of a protfolio increases by $50,000 for each on-basis-point increase in the 12-year rate and has no other sensitivities.The multiple-vertex approach is used to model with the following vertices: 3 months, 6 months, 1 year, 2 years, 3 years, 5 years, 10 years, 15 years, 20 years, and 30 years.What is the sensitivity of the portfolio to a one-basis-point increase in each vertex of the term structure?
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