Question
1. The Dodgy High Yield Strategies portfolio consists of the following four fixed-rate bonds: Bond A Bond B Bond C Bond D Par Value Owned
1. The Dodgy High Yield Strategies portfolio consists of the following four fixed-rate bonds:
Bond A Bond B Bond C Bond D Par Value Owned 14,000 16,000 12,000 8,000 Maturity (years) 1.49 6.62 8.84 11.34 Coupon Rate 12% 11% 10% 14% Coupon Frequency annual semiannual semiannual quarterly Yield to Maturity 10% 14.5% 15% 15.2% Quoted Price 102.4939 85.3785 76.6166 93.5472 Accrued Interest 6.2000 4.1556 1.6944 2.3722 Macaulay Duration 1.3779 4.4964 5.3388 5.5208
The quoted price (i.e. flat price) and accrued interest are per 100 of par. Using the weighted-average approach, estimate the portfolios: a. Macaulay duration. b. modified duration.
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Intermediate Accounting
Authors: Kin Lo, George Fisher
3rd Edition Vol. 1
133865940, 133865943, 978-7300071374
