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A portfolio with a market value of GBP 47,500,000 and a par value of GBP 50 million has duration of 7.0. The manager uses cash
A portfolio with a market value of GBP 47,500,000 and a par value of GBP 50 million has duration of 7.0. The manager uses cash in the portfolio (duration=0) to purchase GBP 1,000,000 market value and par of bond with a duration of 4.0. Calculate the initial and after purchase dollar duration of the portfolio
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Financial Management Theory And Practice
Authors: Prasanna Chandra
7th Edition
0070656657, 978-0070656659
