BPVp = MDURp × 0.01% × MVp

CFA Level III Derivatives
#1

what does MDURp * MVp mean really?

#2

Modified duration of portfolio x Market value of portfolio? :man_shrugging:

#3

yes but what does duration * market value mean exactly?

#4

Approximate dollar change in value of fixed income portfolio as a result of a 100 bp parallel shift in yield curve. (still need to multiply by 0.01!)

#5

thank you!

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