Your group manage a portfolio of bonds consisting of the following bonds Bond 1 Bond 2...
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Your group manage a portfolio of bonds consisting of the following bonds Bond 1 Bond 2 Bond 4 Bond 5 Face Value (RM) Coupon Rate Interest Rate Types of Interest rate Maturity (years) Allocation of funds (a) (b) 1000 6% 10% compounding annually 10 20% 1000 7% 8% 15 Bond 3 30% 1000 8% 10% continuous compounding compounding annually compounding annually 20 1000 10% 10% 10% 25 20% 1000 12% 8% Bond 6 10% 1000 Find the duration and convexity of your portfolio? Show that the percentage changes in the values of your portfolios for a 0.1% per annum increase in yields using both duration and convexity. Comment on your findings. 14% continuous continuous compounding compounding 30 35 8% 10% Your group manage a portfolio of bonds consisting of the following bonds Bond 1 Bond 2 Bond 4 Bond 5 Face Value (RM) Coupon Rate Interest Rate Types of Interest rate Maturity (years) Allocation of funds (a) (b) 1000 6% 10% compounding annually 10 20% 1000 7% 8% 15 Bond 3 30% 1000 8% 10% continuous compounding compounding annually compounding annually 20 1000 10% 10% 10% 25 20% 1000 12% 8% Bond 6 10% 1000 Find the duration and convexity of your portfolio? Show that the percentage changes in the values of your portfolios for a 0.1% per annum increase in yields using both duration and convexity. Comment on your findings. 14% continuous continuous compounding compounding 30 35 8% 10%
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Related Book For
Introduction to Operations Research
ISBN: 978-1259162985
10th edition
Authors: Frederick S. Hillier, Gerald J. Lieberman
Posted Date:
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