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Bond A: YTM 6%, C 9%, N 12 years semi, # of bonds = 319 Bond B = YTM 8%, C 10%, N 8 years
Bond A: YTM 6%, C 9%, N 12 years semi, # of bonds = 319
Bond B = YTM 8%, C 10%, N 8 years semi, # of bonds 537
- Calculate the price and value of each bond and the portfolio
- Calculate each bonds duration and the weighted average duration of the portfolio
- If the available futures is price 98, duration 5, and you desire a net short duration of negative 2, calculate the # of contracts needed.
- Simulate a 150-bps increase in IR.
- Prove your answer: Impact of bond portfolio + impact of futures contract must equal the simulation (desired) portfolio
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Fundamental accounting principle
Authors: John J. Wild, Ken W. Shaw, Barbara Chiappetta
21st edition
1259119831, 9781259311703, 978-1259119835, 1259311708, 978-0078025587
