4/16/25, 12:54 AM Gurleen Bajwa - AFF811/FIN801 011 - Financial Risk Management - W2025 - Toronto Metropolitan University
Review Quiz 2 - Results X
Attempt 1 of 1
Written Jan 25, 2025 4:24 PM - Jan 25, 2025 4:36 PM
Attempt Score 56.25 %
Overall Grade (Highest Attempt) 56.25 %
Question 1 points
Consider a bond position that has a promised cash flow of 350 in 5 years. If
the 5-year continuously compounded interest rate is 2.55%, what is the 5-
year interest rate delta of this bond position?
Note: Your answer must be accurate to within 0.1.
Answer:
1,540.5 v
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The appropriate calculations are
PV = Cash Flow x exp(-r x t)
IR delta = n x PV
Question 2 points
https://courses.torontomu.ca/d2l/Ims/quizzing/user/quiz_submissions_attempt.d21?isprv=&Qqi=441865&ai=10280714&isInPopup=0&cfql=-0&fromQB=0&... 1/6
, 4/16/25, 12:54 AM Gurleen Bajwa - AFF811/FIN801 011 - Financial Risk Management - W2025 - Toronto Metropolitan University
Consider a portfolio that is long 24 bonds that have a 3-year interest rate
delta of 279.0 and short 9 bonds that have a 3-year interest rate delta of
134.0. What is the 3-year interest rate delta of this portfolio?
Note: Your answer must be accurate to within 0O.1.
Answer:
5,490.0 v
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The appropriate calculation is:
IR delta (port) = sum(position in each bond x IR delta of bond)
Question 3 points
Consider a bond portfolio that has a one-year interest rate delta of 1,059, a
two-year interest rate delta of 2,021, and a three-year interest rate delta of
2,941. On a day when the one-year interest rate falls by 25 basis points, the
two-year interest rate falls by 17 basis points, and the three-year interest rate
falls by 11 basis points, what is the change in the value of this portfolio?
Note: Your answer must be accurate to within one cent.
Answer:
4.02 % (9.318)
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Remembering that 1 basis point = .0001, the appropriate calculation is:
https://courses.torontomu.ca/d2l/Ims/quizzing/user/quiz_submissions_attempt.d21?isprv=&qi=441865&ai=10280714&isInPopup=0&cfql=0&fromQB=0&... 2/6
Review Quiz 2 - Results X
Attempt 1 of 1
Written Jan 25, 2025 4:24 PM - Jan 25, 2025 4:36 PM
Attempt Score 56.25 %
Overall Grade (Highest Attempt) 56.25 %
Question 1 points
Consider a bond position that has a promised cash flow of 350 in 5 years. If
the 5-year continuously compounded interest rate is 2.55%, what is the 5-
year interest rate delta of this bond position?
Note: Your answer must be accurate to within 0.1.
Answer:
1,540.5 v
w Hide question 1 feedback
Feedback
The appropriate calculations are
PV = Cash Flow x exp(-r x t)
IR delta = n x PV
Question 2 points
https://courses.torontomu.ca/d2l/Ims/quizzing/user/quiz_submissions_attempt.d21?isprv=&Qqi=441865&ai=10280714&isInPopup=0&cfql=-0&fromQB=0&... 1/6
, 4/16/25, 12:54 AM Gurleen Bajwa - AFF811/FIN801 011 - Financial Risk Management - W2025 - Toronto Metropolitan University
Consider a portfolio that is long 24 bonds that have a 3-year interest rate
delta of 279.0 and short 9 bonds that have a 3-year interest rate delta of
134.0. What is the 3-year interest rate delta of this portfolio?
Note: Your answer must be accurate to within 0O.1.
Answer:
5,490.0 v
W Hide question 2 feedback
Feedback
The appropriate calculation is:
IR delta (port) = sum(position in each bond x IR delta of bond)
Question 3 points
Consider a bond portfolio that has a one-year interest rate delta of 1,059, a
two-year interest rate delta of 2,021, and a three-year interest rate delta of
2,941. On a day when the one-year interest rate falls by 25 basis points, the
two-year interest rate falls by 17 basis points, and the three-year interest rate
falls by 11 basis points, what is the change in the value of this portfolio?
Note: Your answer must be accurate to within one cent.
Answer:
4.02 % (9.318)
w Hide question 3 feedback
Feedback
Remembering that 1 basis point = .0001, the appropriate calculation is:
https://courses.torontomu.ca/d2l/Ims/quizzing/user/quiz_submissions_attempt.d21?isprv=&qi=441865&ai=10280714&isInPopup=0&cfql=0&fromQB=0&... 2/6
