medium · FRM Part 1 Valuation and Risk Models
A bond's price is P = 100. Its KRD_1y = 0.5, KRD_2y = 1.5, and KRD_3y = 3.0.
What is the predicted price if all spot rates rise by 100 basis points?
- $97.00
- $95.00
- $105.00
- $99.00
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