Consider the following three bond portfolio: a. Compute the portfolio duration. b. Compute the contribution to portfolio

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Consider the following three bond portfolio: image text in transcribed

a. Compute the portfolio duration.

b. Compute the contribution to portfolio duration of each bond.

c. Suppose interest rates change by 50 basis points, what is the approximate percentage change in the portfolio’s value?

d. What assumption does one making in answering question c?

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Introduction To Fixed Income Analytics

ISBN: 9780470572139

2nd Edition

Authors: Steven V. Mann, Frank J. Fabozzi

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Question Posted: Apr 30, 2024 01:02 AM

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Consider the following three bond portfolio: a. Compute the portfolio duration. b. Compute the contribution to portfolio

Question:

Bond Price Coupon Weight Duration Maturity A 100.6555 3.25% 0.489 1.886 2 year B 100.5119 4.875% 0.394 7.518 10 year C 60.1730 0% 0.117 9.421 10 year

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Introduction To Fixed Income Analytics

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