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5. (2.5 pts) consider the following portfolio of Treasury bonds: Bond Market Value (Modified) Duration (years) Contribution to portfolio duration? W $13 million 2
5. (2.5 pts) consider the following portfolio of Treasury bonds: Bond Market Value (Modified) Duration (years) Contribution to portfolio duration? W $13 million 2 X $27 million 7 Y $60 million 8 Z $40 million 14 1) What is the portfolio's duration? 2) If interest rates for all maturities increase by 50 basis points, what is the approximate percentage change in the value of the portfolio? 3) What is the contribution to portfolio duration for each bond?
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Financial Accounting an introduction to concepts, methods and uses
Authors: Clyde P. Stickney, Roman L. Weil, Katherine Schipper, Jennifer Francis
13th Edition
978-0538776080, 324651147, 538776080, 9780324651140, 978-0324789003
