A European portfolio manager is presented with the following information on a portfolio of two bonds. Calculate
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A European portfolio manager is presented with the following information on a portfolio of two bonds. Calculate the OAS of the portfolio.
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Issuer Company A Company B Face Value € 100,000,000 € 200,000,000 Price* 95 97 Accrued Interest* 1.5 2.0 OAS (bps p.a.) 125 150
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1 Solve for bond and portfolio values A Company A bond 96500000 100000000 X 09...View the full answer
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