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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 per $100 of
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. What is the portfolio's duration?
Bond Maturity Market Value Price Coupon Yield-to-Maturity Modified Duration
E 6 years 270,00085.00002.00%4.95% 5.42
K 10 years 230,000 80.0000 2.40%4.99% 8.44
Z 15 years 300,000 100.0000 5.00% 5.00% 10.38
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