1. You are provided with the following Treasury Bond quotes: Settlement date Issue date Annual Coupon...
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1. You are provided with the following Treasury Bond quotes: Settlement date Issue date Annual Coupon rate (coupons are paid semi- annually) 10/26/2021 10/26/2021 11/15/2020 5/15/2020 Maturity 11/15/2044 5/15/2046 3% 2.5% Bid 116.28 107.28 Asked 116.30 107.30 a) Compute the Modified duration of a portfolio of $10 million par of each of the above two bonds. (10 points) b) Compute the PVBP of a portfolio of $10 million par of each of the above two bonds. (10 points) c) Compute the Duration of a portfolio of $10 million par of each of the above two bonds. (10 points) 1. You are provided with the following Treasury Bond quotes: Settlement date Issue date Annual Coupon rate (coupons are paid semi- annually) 10/26/2021 10/26/2021 11/15/2020 5/15/2020 Maturity 11/15/2044 5/15/2046 3% 2.5% Bid 116.28 107.28 Asked 116.30 107.30 a) Compute the Modified duration of a portfolio of $10 million par of each of the above two bonds. (10 points) b) Compute the PVBP of a portfolio of $10 million par of each of the above two bonds. (10 points) c) Compute the Duration of a portfolio of $10 million par of each of the above two bonds. (10 points)
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Answer rating: 100% (QA)
aThe modified duration of a bond is given by D PV1 r 1 rDV where D is the modified duration PV is the present value of the bond r is the bonds yield t... View the full answer
Related Book For
Accounting Tools for Business Decision Making
ISBN: 978-1118128169
5th edition
Authors: Paul D. Kimmel, Jerry J. Weygandt, Donald E. Kieso
Posted Date:
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