Question

Suppose that the change in a portfolio value for a one-basis-point shift in the 1-year, 2-year, 3-year, 4-year, 5-year, 7-year, 10-year, and 30-year rates are (in $ million) +5, –3, –1, +2, +5, +7, +8, and +1, respectively. Estimate the delta of the portfolio with respect to the first three factors in Table 8.7. Quantify the relative importance of the three factors for this portfolio.


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  • CreatedJuly 30, 2015
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