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10. Assume you have a portfolio comprising 5 zero-coupon bonds that have 2 years to maturity and 6 zero-coupon bond with a maturity of 20
10.
Assume you have a portfolio comprising 5 zero-coupon bonds that have 2 years to maturity and 6 zero-coupon bond with a maturity of 20 years. Assuming semi-annual compounding and that all bonds have a face value of 100 and that the yield curve is flat at 5% pa, what is the modified duration of this portfolio?
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7.752
13.711
10.732
7.609
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