The situation
The book has ₹30 crore at duration 2 and ₹70 crore at duration 6. Assume a parallel 50 bp rise.
Your task
Estimate portfolio duration and market value impact.
Reveal step-by-step solution
Set up the problem
Use market value weights of 30% and 70%.
Work through the numbers
Portfolio duration = 0.30 × 2 + 0.70 × 6 = 4.8. Estimated price change = −4.8 × 0.005 = −2.4%.
Interpret the result
Estimated loss is ₹2.4 crore. For a nonparallel shift, measure exposures by tenor.
What to remember
Weight by market value and distinguish parallel shocks from curve twists.