A European portfolio manager is presented with the following information on a portfolio of two bonds. Calculate

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A European portfolio manager is presented with the following information on a portfolio of two bonds. Calculate the OAS of the portfolio. Issuer Company A Company B Face Value 100,000,000 200,000,000 Price* 95 97 Accrued Interest* 1.5 2.0 OAS

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Fixed Income Analysis

ISBN: 9781119850540

5th Edition

Authors: Barbara S. Petitt

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Question Posted: Nov 08, 2023 01:44 AM

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A European portfolio manager is presented with the following information on a portfolio of two bonds. Calculate

Question:

Issuer Company A Company B Face Value € 100,000,000 € 200,000,000 Price* 95 97 Accrued Interest* 1.5 2.0 OAS (bps p.a.) 125 150

Step by Step Answer:

1 Solve for bond and portfolio values A Company A bond 96500000 100000000 X 09...View the full answer

Fixed Income Analysis

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