5. Consider a bond portfolio consisting of 20 million in three-year maturity bonds, 10 million four-year...
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5. Consider a bond portfolio consisting of €20 million in three-year maturity bonds, €10 million four-year maturity bonds and €15 million in five-year maturity bonds. The three-year bonds have a duration of 2.8 years, the four-year bonds have a duration of 3.6 years, and the five-year bonds have a duration of 4.5 years. If interest rates increase by 20 basis points, what will be the percentage change in the value of the portfolio? 5. Consider a bond portfolio consisting of €20 million in three-year maturity bonds, €10 million four-year maturity bonds and €15 million in five-year maturity bonds. The three-year bonds have a duration of 2.8 years, the four-year bonds have a duration of 3.6 years, and the five-year bonds have a duration of 4.5 years. If interest rates increase by 20 basis points, what will be the percentage change in the value of the portfolio?
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