Question
3. Bond Price Coupon Port. Weight Duration Maturity A 100.6555 3.25% 0.489 1.886 2 years B 100.5119 4.875% 0.394 7.518 10 years C 60.1730 0%
3.
| Bond | Price | Coupon | Port. Weight | Duration | Maturity |
| A | 100.6555 | 3.25% | 0.489 | 1.886 | 2 years |
| B | 100.5119 | 4.875% | 0.394 | 7.518 | 10 years |
| C | 60.1730 | 0% | 0.117 | 9.421 | 10 years |
If interest rates go down by 100 basis points, what will be new total market value for portfolio?
If interest rates go up by 200 basis points, what will be new total market value for portfolio?
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The Bank Analysts Handbook Money Risk And Conjuring Tricks
Authors: Stephen M. Frost
1st Edition
0470091185, 978-0470091180
