A portfolio consists of 3 bonds , A , B , and C . You are given
Fantastic news! We've Found the answer you've been seeking!
Question:
A portfolio consists of bonds ABand CYou are given that:
A is a zerocoupon bond. It has year maturity, YTMand $par value.
B has coupon payments made annually. It has year maturity, YTMand par value.
C pays its coupon annually and has YTMIt is currently trading at $
Part If the macaulay of the portfolio is years determine the modified duration of C
Part BCalculate the modified duration of the portfolio
PartCCalculate the above percentage change in the price of the portfolio estimated using the modified duration from above when yield goes down by basis points for all bonds. Note: If you expect an increase or decrease.
Posted Date: