Schweser Practice Exam 1 #18.3

Anyone know how why “a 50 bps change in the zero volatility spread (a.k.a. Static spread) should lead to a 6.25 / 2 = 3.125% change in portfolio value.”?

Duration=6.5 so price change=6.25*0.01*50=3.125% . Keep it simple bro

The duration of the portfolio was 6.25. The duration measures the approximate price change given a 100 basis point parallel shift in the yield curve, thus for a 50 basis point shift, the price change would be about half that.

Duh, been studying at one sitting far too long. Need a break to clear the head. Thanks for the responses.

Remember for non treasury issues spread duration = portfolio duration.