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17. Consider the following portfolio: Bond Normal Market Value Duration (years) W $13 million 2 X $27 million 7 Y $60 million 8 Z
17. Consider the following portfolio: Bond Normal Market Value Duration (years) W $13 million 2 X $27 million 7 Y $60 million 8 Z $40 million 14 (a) What is the portfolio's duration? (b) If interest rates for all maturities change by 50 basis points, what is the approximate percentage change in the value of the portfolio? (c) What is the contribution to portfolio duration for each bond?
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The Changing Geography Of Banking And Finance
Authors: Pietro Alessandrini ,Michele Fratianni ,Alberto Zazzaro
1st Edition
1441947205, 978-1441947208
