@vincentt @RaviVooda Given portfolio effective duration = 5.42 and spread duration = 6.25. Schweser stated that for 50bps change in the zero volatility spread should lead to 6.25 / 2 = 3.125% change in portfolio value. Why is 6.25 divided by 2? Is this the same as 0.5% x 6.25 = 3.125%? Can't find the formula anywhere, just want to make sure I am not confused. Thanks!

A CFA Level 3 Discussion About Schweser Exam 2PM Q33

This topic has 1 reply, 2 voices, and was last updated Oct-171:14 pm by RaviVooda.

Viewing 0 reply threads