We are holding a portfolio of bonds with a total face value of $10M and a current
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Question:
We are holding a portfolio of bonds with a total face value of $10M and a current market value of $9,876,543.21.
We have calculated that the Macaulay duration of our portfolio is 7.6 years and the modified duration is 7.4.
What change in value of our portfolio would we expect if interest rates decrease by two basis points?
A. Drop by about $15200
B. Drop by about $14600
C. Rise by about $14600
D. Rise by about $15200
E. None of the above
Related Book For
Financial Reporting Financial Statement Analysis and Valuation a strategic perspective
ISBN: 978-1337614689
9th edition
Authors: James M. Wahlen, Stephen P. Baginski, Mark Bradshaw
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