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Bond A is a 2-year bond trading at 101% of par with a duration of 1.7 years. Bond B is 5-year bond trading at 99%
Bond A is a 2-year bond trading at 101% of par with a duration of 1.7 years. Bond B is 5-year bond trading at 99% of par with a duration of 4.1 years.
a. Portfolio I is long $100 face value of bond A and long $50 of bond B. What is the duration of the portfolio?
b. Portfolio II is long $100 face value of bond A and short $50 of bond B. What is the duration of the portfolio?
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