Question
Consider an investment manager who holds the following Bond Portfolio with Bond A, and Bond B. Each bond has a face value of $1000 and
- Consider an investment manager who holds the following Bond Portfolio with Bond A, and Bond B. Each bond has a face value of $1000 and the market interest rate is 5%.
Fill in the Market price of each bond. Then find the total portfolio value. Fill in the weights column, find the duration of each bond, and compute the Duration of the bond portfolio.
Bond | Annual Coupon Rate | Maturity | Market Price ($) | Units Held | Market Value ($) of portfolio | DUR | Weights |
A | 5% | 5 years | 17,500 | ||||
B | 10% | 10 years | 5,000 | ||||
Total |
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Bond A The annual coupon payment for Bond A 5 1000 50 The number of coupon payments in 5 years 5 The face value of Bond A 1000 Using the formula for t...
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Intermediate Financial Management
Authors: Eugene F Brigham, Phillip R Daves
14th Edition
0357516664, 978-0357516669
