Suppose that the value of a portfolio increases by $50,000 for each one-basis-point increase in the 12year
Question:
Suppose that the value of a portfolio increases by $50,000 for each one-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?
Fantastic news! We've Found the answer you've been seeking!
Step by Step Answer:
The 10year vertex has a sensitivity of 30000 bec...View the full answer
Answered By
Saud Ur Rehman
Evaluating manufacturing processes by designing and conducting research programs; applying knowledge of product design, fabrication, assembly, tooling, and materials; conferring with equipment vendors; soliciting observations from operators. Developing manufacturing processes by studying product requirements; researching, designing, modifying, and testing manufacturing methods and equipment; conferring with equipment vendors. Keeping equipment operational by coordinating maintenance and repair services; following manufacturer's instructions and established procedures; requesting special service.
1+ Reviews
10+ Question Solved
Related Book For 
Question Posted:
