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Use the Duration Model to Approximate the Change in the Market

Question 22

Multiple Choice

Use the duration model to approximate the change in the market value (per $100 face value) of two-year loans if interest rates increase by 100 basis points.


A) -$1.756
B) -$1.775
C) +$98.24
D) -$1.000
E) +$1.924 [Refer to: 9-95]

Correct Answer:

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