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A bond portfolio consists of the following three fixed - rate bonds. Assume annual coupon payments and no accrued interest on the bonds. Prices are

A bond portfolio consists of the following three fixed

-

rate bonds. Assume annual coupon payments and no accrued interest on the bonds. Prices are per

100

of par value.

Bond Market Value Price YTM Modified Duration

194, 000 107 9 % 11.49

134, 000 98 10 % 5.14

136, 000 88 8 % 8.58

What is the portfolio's modified duration?

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