Question
BOND Definition Maturity Time to Maturity (Days) Actual Price Simple Yield (%) Compound. Yield (%) Continuously Compounded Yield(%) TRT260504T19 26.05.2004 14,00 99,325 17,72% 19,32% 17,66%
| BOND Definition | Maturity | Time to Maturity (Days) | Actual Price | Simple Yield (%) | Compound. Yield (%) | Continuously Compounded Yield(%) | |
| TRT260504T19 | 26.05.2004 | 14,00 | 99,325 | 17,72% | 19,32% | 17,66% | |
| TRB090604T19 | 9.06.2004 | 28,00 | 98,662 | 17,68% | 19,19% | 17,56% | |
| TRB160604T10 | 16.06.2004 | 35,00 | 98,347 | 17,53% | 18,98% | 17,38% | |
| TRT070704T10 | 7.07.2004 | 56,00 | 97,016 | 20,05% | 21,82% | 19,75% | |
| TRB210704T12 | 21.07.2004 | 70,00 | 96,217 | 20,50% | 22,27% | 20,11% | |
| TRB210704T20 | 21.07.2004 | 70,00 | 96,222 | 20,47% | 22,24% | 20,08% | |
| TRB110804T13 | 11.08.2004 | 91,00 | 94,65 | 22,67% | 24,67% | 22,05% | |
| TRB110804T21 | 11.08.2004 | 91,00 | 94,634 | 22,74% | 24,76% | 22,12% | |
| TRT180804T16 | 18.08.2004 | 98,00 | 94,241 | 22,76% | 24,72% | 22,09% | |
| TRT051005T16 | 5.10.2005 | 511,00 | 70,706 | 29,59% | 28,09% | 24,76% |
Suppose you had invested in each of these bond equally by buying 100 bonds for each of these 10 bonds. a. Calculate how much you would invest on this portfolio.
b. Then calculate the portfolio duration of this portfolio.
c. What happens to your portfolio value it the yields increases 300 bps. What happens to the value of your portfolio if the interest rates decrease by 300 bps?
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Applying IFRS Standards
Authors: Ruth Picker, Kerry Clark, John Dunn, David Kolitz, Gilad Livne, Jance Loftus, Leo Van Der Tas
4th Edition
1119159229, 9781119159223
