Question
A bond portfolio named DEX, comprises four bonds (face value=$1000): 1)50 semi-annual bond, 5-year maturity, a coupon rate of 4%. 2)100 annual bonds, 30-year maturity,
A bond portfolio named DEX, comprises four bonds (face value=$1000):
1)50 semi-annual bond, 5-year maturity, a coupon rate of 4%.
2)100 annual bonds, 30-year maturity, 8% coupon bond.
3)150 zero coupon bonds, 10-year maturity.
4)200 zero coupon bonds, 20-year maturity.
Given a 6% initial yield, what is the DEXs duration (use Macaulays duration)?
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The Handbook Of Pairs Trading
Authors: Douglas S. Ehrman
1st Edition
0471727075, 9780471727071
