Question
A bond portfolio consists of the following three fixed-rate bonds. Assume semi-annual coupon payments and no accrued interest on the bonds. Prices are per 100
- A bond portfolio consists of the following three fixed-rate bonds. Assume semi-annual coupon payments and no accrued interest on the bonds. Prices are per 100 of par value and Macaulay durations are annulized.
| Bond | Par Value | Quoted Price | Yield-to-Maturity | Macaulay Duration |
| A | 2,000,000 | 98.0000 | 4% | 6.2 |
| B | 2,000,000 | 85.0000 | 5% | 7.8 |
| C | 1,000,000 | 102.0000 | 6% | 9.6 |
- Calculate the bond portfolios modified duration.
- Calculate the bond portfolios money duration.
3) If interest rates increase by 18 basis points, what is the approximate value of this portfolio?
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Authors: Jay Johns
1st Edition
1544010729, 978-1544010724
