问题标题：
【Abankhastwo,3-yearcommercialloanswithapresentvalueof$70million.Thefirstisa$30millionloanthatrequiresasinglepaymentof$37.8millionin3years,withnootherpaymentsuntilthen.Thesecondisfor$40million.Itrequiresanannua】
问题描述：
Abankhastwo,3-yearcommercialloanswithapresentvalueof$70million.Thefirstisa$30millionloanthatrequiresasinglepaymentof$37.8millionin3years,withnootherpaymentsuntilthen.Thesecondisfor$40million.Itrequiresanannualinterestpaymentof$3.6million.Theprincipalof$40millionisduein3years,thegenerallevelofinterestratesis8%.
a.Whatisthedurationofthebank’scommercialloanportfolio?
b.Whatwillhappentothevalueofitsportfolioifthegenerallevelofinterestratesincreasedfrom8%to8.5%?
白玉艳回答：
1、3年
2、现值7000万的贷款,涉及到复利问题,其实很简单30乘以1.08的3次方=37.8么
4000万的那部分已经是固定利率了9%
所以30乘以1.085的3次方=35.32加上50.8=86.12
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