Question
Assume you manage the following portfolio of liabilities. Instrument Coupon Maturity Face Market Market Macaulay date Value ($m) Value ($) Interest rate Duration DB03 6.77%
Assume you manage the following portfolio of liabilities.
| Instrument | Coupon | Maturity | Face | Market | Market | Macaulay |
| date | Value ($m) | Value ($) | Interest rate | Duration | ||
| DB03 | 6.77% | 15-03-03 | 100 | 100,129,016.87 | 6.56/6.70 | ? |
| DB11 | 5.65% | 15-03-11 | 100 | 100,607,102.57 | 5.53/5.57 | 7.77 |
- Calculate the Macaulay Duration for the DB03 bond. (5 Marks)
Note: Today is the 15th March 2001 and there are 92 days between today and 15th June 2001. The DB03 market value is based on 6.70% yield and DB11 market value is based on 5.57% yield.
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The Routledge Handbook Of State Owned Enterprises
Authors: Luc Bernier, Massimo Florio, Philippe Bance
1st Edition
1138487694, 978-1138487697
