Question: Using the DV01 (or modified duration), answer the following questions: a) (5 marks) A bond portfolio manager has $25 million invested in a 5 year

Using the DV01 (or modified duration), answer the following questions: a)

Using the DV01 (or modified duration), answer the following questions: a) (5 marks) A bond portfolio manager has $25 million invested in a 5 year zero coupon bond and $100 million invested in a 10 year zero coupon bond. What is the dollar impact of a one basis point parallel shift upwards in the yield curve on the value of the portfolio

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