A bond portfolio consists of the following three fi xed-rate bonds. Assume annual coupon payments and no
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A bond portfolio consists of the following three fi xed-rate bonds. Assume annual coupon payments and no accrued interest on the bonds. Prices are per 100 of par value.
Bond Maturity Market Value Price Coupon Yield-toMaturity Modifi ed Duration A 6 years 170,000 85.0000 2.00% 4.95% 5.42 B 10 years 120,000 80.0000 2.40% 4.99% 8.44 C 15 years 100,000 100.0000 5.00% 5.00% 10.38 Th e bond portfolio’s modifi ed duration is closest to:
A . 7.62.
B . 8.08.
C . 8.20.
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Related Book For 
Fixed Income Analysis
ISBN: 9788126563128
3rd Edition
Authors: Barbara S. Petitt, Jerald E. Pinto, Wendy L. Pirie, Bob Kopprasch
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