85 86 Part d). 87 Assume a benchmark portfolio that is composed of equal (25%) weights in each of: 88 Bond 89 GOC 4% 1-Yr tenor 90 GOC4% 5-Yr tenor 91 GOC 4% 10-Yr tenor 92 GOC 4% 30-Yr tenor 93 94 (i) For the benchmark portfolio, calculate the portfolio Modified Duration, Convexity and KADS. 95 96 (ii) Using the Taylor's Series Expected return equation on page Vol-2, what will be the 97 expected return if all yields jump up by 1% (i.e., dy=0.01)? 98 99 (iii) If the yield curve steepened: dhat r(.5) =-.0005, dhat (r10) =+.005 and 100 dhat r(30) = +.01, what would be the benchmark return? 101 85 86 Part d). 87 Assume a benchmark portfolio that is composed of equal (25%) weights in each of: 88 Bond 89 GOC 4% 1-Yr tenor 90 GOC4% 5-Yr tenor 91 GOC 4% 10-Yr tenor 92 GOC 4% 30-Yr tenor 93 94 (i) For the benchmark portfolio, calculate the portfolio Modified Duration, Convexity and KADS. 95 96 (ii) Using the Taylor's Series Expected return equation on page Vol-2, what will be the 97 expected return if all yields jump up by 1% (i.e., dy=0.01)? 98 99 (iii) If the yield curve steepened: dhat r(.5) =-.0005, dhat (r10) =+.005 and 100 dhat r(30) = +.01, what would be the benchmark return? 101