medium · FRM Part 1 Valuation and Risk Models
A 30-year par bond has significant key-rate durations at the 5, 10, 20, and 30-year points.
If the yield curve experiences a 'twist' where only the 30-year rate rises, which component of the bond's value is primarily affected?
- The initial coupon payments in the first five years.
- The reinvestment income of all coupons.
- The credit spread of the bond.
- The final principal repayment (face value).
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