Question
A portfolio of short-term bonds has expected cash flows of $283mln, $270mln, and $193mln at the end of Years 1, 2, and 3, respectively. Currently,
A portfolio of short-term bonds has expected cash flows of $283mln, $270mln, and $193mln at the end of Years 1, 2, and 3, respectively. Currently, the appropriate one-, two-, and three-year yields are 2.09%, 3.18%, and 3.35%, respectively. What is the portfolio's two-year rate duration?
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Basic Finance An Introduction to Financial Institutions, Investments and Management
Authors: Herbert B. Mayo
11th Edition
1285425790, 1285425795, 9781305464988 , 978-1285425795
