试题与答案

David Jordan, a level Ⅲ candidate in the C

题型:单项选择题

题目:

David Jordan, a level Ⅲ candidate in the CFA program, is a portfolio manager with Golson Investment Group. He manages a fixed-coupon bond portfolio with a face value of $120.75 million and a current market value of $116.46 million. Golson’s research department has forecasted that interest rates are going to decrease by 50 basis points. Based on this forecast, David estimates that the portfolio’s value will increase by 2.12 million if interest rates fall and will decrease by 2.07 million if interest rates rise. Which of the following choices is closest to the portfolio’s dollar duration()

A. $4.19 million.

B. $3.67 million.

C. $3.50 million.

答案:

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