Question: Can you please write down the solutions on paper? Don't use excel. We consider a portfolio composed of unit quantity of each of these two

Can you please write down the solutions on paper? Don't use excel.

Can you please write down the solutions on paper? Don't use excel.

We consider a portfolio composed of unit quantity of each of these two bonds (one unit of bond A and one unit of bond B), whose features are given below. Coupons are paid annually. Bond A Bond B Maturity 3 years 6 years Coupon 6% 7% YTM 5% 8% a) (5 marks) Compute the yield-to-maturity of the portfolio b) (15 marks) Estimate the dollar duration and dollar convexity of the portfolio We consider a portfolio composed of unit quantity of each of these two bonds (one unit of bond A and one unit of bond B), whose features are given below. Coupons are paid annually. Bond A Bond B Maturity 3 years 6 years Coupon 6% 7% YTM 5% 8% a) (5 marks) Compute the yield-to-maturity of the portfolio b) (15 marks) Estimate the dollar duration and dollar convexity of the portfolio

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