A portfolio manager owns $5 million par value of bond ABC. The bond is trading at 70
Question:
A portfolio manager owns $5 million par value of bond ABC. The bond is trading at 70 and has a modified duration of 6.
The portfolio manager is considering swapping out of bond ABC and into bond XYZ. The price of this bond is 85 and it has a modified duration of 3.5.
a. What is the dollar duration of bond ABC per 100-basis-point change in yield?
b. What is the dollar duration for the $5 million position of bond ABC?
c. How much in market value of bond XYZ should be purchased so that the dollar duration of bond XYZ will be approximately the same as that for bond ABC?
d. How much in par value of bond XYZ should be purchased so that the dollar duration of bond XYZ will be approximately the same as that for bond ABC?
Fantastic news! We've Found the answer you've been seeking!
Step by Step Answer:
Answered By
Elias Gichuru
am devoted to my work and dedicated in helping my clients accomplish their goals and objectives,providing the best for all tasks assigned to me as a freelancer,providing high quality work that yields high scores.promise to serve them earnestly and help them achieve their goals.i have the needed expertise,knowledge and experience to handle their tasks.
325+ Reviews
859+ Question Solved
Related Book For 
Question Posted:
