**Factor**** 5 ****20** Level –0.4352% –0.5128% Steepness –0.0515% –0.3015% Curvature 0.3963%

Calculate the expected change in yield on the five-year bond resulting from a one standard deviation decrease in the level factor and a one standard deviation decrease in the curvature factor. if i use the formula change in price = sensitivity * yield curve’s level - sensitivity* change in yield curve’s steepness - sensitivity* change in yield curves’ curvature i get 0.4352%- (-1*0.3963%)= 0.8315%. the answer says “Because the factors in Exhibit 1 have been standardized to have unit standard deviations, a one standard deviation decrease in both the level factor and the curvature factor will lead to the yield on the five-year bond increasing by 0.0389%” but curvature should be -0.3963% but the formula doesnt apply.