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Bond Math and Portfolios A manager is considering two portfolios: a bullet portfolio and a barbell portfolio. Portfolio A Par Maturity Coupon YTM $9,550,000 5/1/19
| Bond Math and Portfolios | ||||
| A manager is considering two portfolios: a bullet portfolio and a barbell portfolio. | ||||
| Portfolio A | ||||
| Par | Maturity | Coupon | YTM | |
| $9,550,000 | 5/1/19 | 4.20% | 4.47% | |
| $9,450,000 | 5/1/19 | 4.75% | 4.57% | |
| $20,325,000 | 5/1/27 | 6.15% | 6.65% | |
| Portfolio B | ||||
| $19,050,000 | 11/1/22 | 5.75% | 5.76% | |
| $19,400,000 | 11/1/22 | 5.95% | 5.80% | |
| (a) Which portfolio is the bullet portfolio? | ||||
| (b) What are the current prices of the bonds in both portfolios? Use 5/1/17 as the settlement date. | ||||
| (c) What are the modified durations of the bonds in both portfolio? | ||||
| (d) What are the durations of both portfolios? | ||||
| (e) What is the cash yield of each portfolio? | ||||
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Local Public Finance
Authors: René Geissler, Gerhard Hammerschmid, Christian Raffer
1st Edition
3030674681, 978-3030674687
