A certain bond portfolio has a value of $$ 1,000$ today at a yield of $10 %$.

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A certain bond portfolio has a value of $\$ 1,000$ today at a yield of $10 %$. Yesterday the same portfolio had a value of $\$ 990$ at a yield of $10.5 %$.

(a) Estimate what the modified duration was yesterday.

(b) Estimate what the Macaulay duration was yesterday, assuming daily compounding (365 days/year).

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Investment Science

ISBN: 9780199740086

2nd Edition

Authors: David G. Luenberger

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Question Posted: Apr 19, 2024 02:00 AM

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A certain bond portfolio has a value of $$ 1,000$ today at a yield of $10 %$.

Question:

Step by Step Answer:

a To estimate the modified duration yesterday we use the formula Mod...View the full answer

Investment Science

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