Portfolio A consists of a one year zero coupon bond with a face value of $2,000 and a 10 year zero coupon bond with a face value of $6,000 Portfolio B consists of a 5 95 year zero coupon bond with a face value of $5,000 The current yield on all bonds is 10 per annum (a) Show that both portfolios ha...

a The duration of Portfolio A is Since this is also the duration of Portfolio B the ...

Portfolio A consists of a one-year zero-coupon bond with a face value of $2,000 and a 10-year

Question:

A consists of a one-year zero-coupon bond with a of $2,000 and a 10-year zero-coupon bond with a of $6,000. B consists of a 5.95-year zero-coupon bond with a of $5,000. The current yield on all bonds is 10% per annum.
(a) Show that both portfolios have the same duration.
(b) Show that the percentage changes in the values of the two portfolios for a 0.1% per annum increase in yields are the same.
(c) What are the percentage changes in the values of the two portfolios for a 5% per annum increase in yields?
Face Value
Face value is a financial term used to describe the nominal or dollar value of a security, as stated by its issuer. For stocks, the face value is the original cost of the stock, as listed on the certificate. For bonds, it is the amount paid to the... Portfolio
A portfolio is a grouping of financial assets such as stocks, bonds, commodities, currencies and cash equivalents, as well as their fund counterparts, including mutual, exchange-traded and closed funds. A portfolio can also consist of non-publicly...