Question: 1. What is dollar duration? How is dollar duration different from duration? 2. Define Spread duration. Calculate the duration and the spread duration for the

1. What is dollar duration? How is dollar duration different from duration?

2. Define Spread duration. Calculate the duration and the spread duration for the portfolio described in the Table below. What does each concept measure? Which concept is suitable for measuring IR risk of a portfolio of floating rate bonds? Why?

Bonds from 6 Sectors	Sector Weight in portfolio, W_i	Sector Duration D_i	Sector Spread Duration D_i
Treasury	0.000	4.95	0.00
Agency	0.121	3.44	3.53
Mortgages	0.449	3.58	3.62
Commercial MBS	0.139	5.04	5.04
ABS	0.017	3.16	3.16
Credit	0.274	6.35	6.35

Step by Step Solution

There are 3 Steps involved in it

1 Expert Approved Answer

Step: 1 Unlock blur-text-image

Question Has Been Solved by an Expert!

Get step-by-step solutions from verified subject matter experts

Step: 2 Unlock

Step: 3 Unlock

Students Have Also Explored These Related Finance Questions!

Question 3 please 1. Risk Measurement, Dollar Duration, Converily, and Macaulay Duration - 30 points The following discount factors are given: B(0,1)= 0.95206 B(0, 2) = 0.81845 B(0,3)=0.86476 B(0,4)=...

Define Spread duration. Calculate the duration and the spread duration for the portfolio described in the Table below. What does each concept measure? Which concept is suitable for measuring IR risk...

* Assume $100 face value for the following problems. 1. Using the semi-annually compounded yield curve in Table securities: 1, compute (a) 5-year zero coupon bond (b) 3-year semi-annual coupon bond...

You must show the details of your work in Excel spreadsheets. Please HIGHLIGHT your final answers. The assignment will be marked based on (1) how you arrive at the solution, (2) is the solution...

[Table 1] Semi-annually compounded yield curve Maturity (year) 0.50 1.00 1.50 2.00 2.50 Yield (%) 6.49 6.71 6.84 6.88 6.88 Maturity (year) 3.00 3.50 4.00 4.50 5.00 Yield (%) 6.83 6.76 6.67 6.57 6.45...

this the whole question. give methe solution for question for question 3 and 4 [Table 1] Semi-annually compounded yield curve Maturity (year) 0.50 1.00 1.50 2.00 2.50 Yield (%) 6.49 6.71 6.84 6.88...

i have this assignment due on march 28th can someone help me do this on excel? MGT 4068 - Fixed Income Securities Assignment 2 Prof. Hsu This assignment must be submitted by the end of class on...

1. What are the two different general interpretations of the concept of duration, and what is the technical definition of this term? How does duration differ from maturity? 2. What is dollar...

The 0.5-year zero coupon rate is 2% and the 1-year zero coupon rate is 3%. (a) What is the modified duration of (i) a 0.5-year zero, and (ii) a 1-year zero? (b) Consider a forward contract to buy at...

You are the manager of a portfolio consisting of three bonds in equal par amounts of $1,000,000 each. The first table below shows the market value of the bonds and their durations. (The price...

Hazel Corp. has just signed up for a lockbox. Management expects the lockbox to reduce the mail float by 2.1 days. Hazel Corp.s remittances average $37,000 a day and the average check is $125. The...

Intercompany Transactions Facts: ?Sub Co is a 90% owned subsidiary of Parent Co, acquired for $94,500 cash on July 1, 2016, when Sub?s net assets consisted of $100,000 capital stock and $5,000...

Please send your report to the administrative assistant or myself when its finished.

Discuss several ways ( at least four ways ) to improve the requirement process and thus, a project team can avoid a situation where too many changes to the project requirements occur at the later...

Have you done a career self-assessment? Was it easy or difficult? Why? Do you believe you could benefit from taking a career test? Why or why not?

How would you feel about working for a domestic company and competing against foreign companies? How would you feel about working for a foreign company at home? How would you feel about working in...

Will your apparel and grooming really affect your career success? Why or why not?