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(a) What is the duration of a portfolio that consists of the following bonds? Bond Market Value Duration A $101,235,678 2.83 B $248,555,312 14.11 C
| (a) What is the duration of a portfolio that consists of the following bonds? | ||||
| Bond | Market Value | Duration | ||
| A | $101,235,678 | 2.83 | ||
| B | $248,555,312 | 14.11 | ||
| C | $73,453,089 | 3.55 | ||
| D | $48,980,467 | 5.25 | ||
| E | $124,997,324 | 7.05 | ||
| F | $56,345,210 | 3.12 | ||
| G | $62,314,896 | 4.02 | ||
| H | $29,775,321 | 11.34 | ||
| I | $117,843,218 | 17.54 | ||
| J | $144,763,120 | 7.07 | ||
| (b) if rates change by 125bp, approximately what is the change in the market value of the portfolio? |
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Affordable Housing Finance
Authors: K. Hawtrey
2009th Edition
0230555187, 978-0230555181
