You have built a long-short bond, portfolio consisting of $6.8M long a long-term bond and $2.6M short
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You have built a long-short bond, portfolio consisting of $6.8M long a long-term bond and $2.6M short a medium-term bond. (These are market values.) The long-term bond has duration D1=15.7 and the medium-term bond has duration D2=7.7, measured with respect to the BEY. To the first order, what is the dollar effect on the value of your portfolio of a 27bp upward shift in the yield curve?
Express your answer in dollars (not thousands, millions, etc.) and make sure to include the negative sign if you find a loss.
Related Book For
Applied Statistics In Business And Economics
ISBN: 9780073521480
4th Edition
Authors: David Doane, Lori Seward
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