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A bond portfolio named DEX, comprises four bonds (face value=$1000): 50 semi-annual bond, 5-year maturity, a coupon rate of 4%. 100 annual bonds, 30-year maturity,
A bond portfolio named DEX, comprises four bonds (face value=$1000):
- 50 semi-annual bond, 5-year maturity, a coupon rate of 4%.
- 100 annual bonds, 30-year maturity, 8% coupon bond.
- 150 zero coupon bonds, 10-year maturity.
- 200 zero coupon bonds, 20-year maturity.
If required yield is 6% for all bonds per year, and
Bond 1 (semi-annual coupon bond): | 23.19 |
Bond 2 (annual coupon bond): | 212.40 |
Bond 3 (zero coupon bond): | 98.97 |
Bond 4 (zero coupon bond): | 107.00 |
Given DEX convexity, when the yield increases from 6% to 7%, the DEXs market value should fall by how much ($)?
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