The following table provides data on five different bonds (each with a $100 face value) You have been asked to create a portfolio with a market value of $100M comprising 30 of bond C and 70 of bond D A B C D E Bond price $ 88 53 $ 92 64 $ 113 59 $ 59 86 $ 32 20 DV01 $ 0 05267 $ 0 03505 $ 0 07394 $ 0 04104 $ 0 0287 DUR (yrs) 6 31 4 01 6 9 7 27 10 CONV 0 49309 0 18142 0 56463 0 60806 0 9345 What is the DV01 of the portfolio A $5,091 B $50,910 C $67,520 D $6,752 E $0 05091

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Question: The following table provides data on five different bonds (each with a $100 face value). You have been asked to create a portfolio with a

The following table provides data on five different bonds (each with a $100 face value). You have been asked to create a portfolio with a market value of $100M comprising 30% of bond C and 70% of bond D.

	A	B	C	D	E
Bond price	$ 88.53	$ 92.64	$ 113.59	$ 59.86	$ 32.20
DV01	$ 0.05267	$ 0.03505	$ 0.07394	$ 0.04104	$ 0.0287
DUR (yrs)	6.31	4.01	6.9	7.27	10
CONV	0.49309	0.18142	0.56463	0.60806	0.9345

What is the DV01 of the portfolio?

	A.	$5,091
	B.	$50,910
	C.	$67,520
	D.	$6,752
	E.	$0.05091

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