Answer via Blackboard according to timeframe on Assigment.. Can be answered in groups of up to...

  

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Answer via Blackboard according to timeframe on Assigment.. Can be answered in groups of up to 3 students Exercise 1: You own a portfolio of short to medium term corporate bonds. The different components of your portfolio is described in the below table. Bond # 1 2 3 4 Nom 500.000 750.000 1.200.000 1.600.000 All bonds are paying annual coupons, and are redeemed at the end of the life of the bond. Assume a yield of 3,54% and continuous compounding Question 1.1 What is the effect (gain or loss) of a 50 bps parallel upward shift in the yield curve Term 1 2 3 Coupon 2% 5% 3,5% 3% Question 2.2 What is the effect (gain or loss) of a rotation in the yield curve with the following shocks? 4 5 Maturity 3 yr 5 yr 4 yr 2 yr Schock (bps) -25 -10 0 10 25 Answer via Blackboard according to timeframe on Assigment.. Can be answered in groups of up to 3 students Exercise 1: You own a portfolio of short to medium term corporate bonds. The different components of your portfolio is described in the below table. Bond # 1 2 3 4 Nom 500.000 750.000 1.200.000 1.600.000 All bonds are paying annual coupons, and are redeemed at the end of the life of the bond. Assume a yield of 3,54% and continuous compounding Question 1.1 What is the effect (gain or loss) of a 50 bps parallel upward shift in the yield curve Term 1 2 3 Coupon 2% 5% 3,5% 3% Question 2.2 What is the effect (gain or loss) of a rotation in the yield curve with the following shocks? 4 5 Maturity 3 yr 5 yr 4 yr 2 yr Schock (bps) -25 -10 0 10 25

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The detailed answer for the above question is provided below Answer 11 A 50 bps parallel upward shift in the yield curve will result in a decrease in the value of the portfolio This is because the hig... View the full answer