Question
Consider the following bond portfolio: Bond Value Maturity Coupon Yield ----------------------------------------------------------------------------- A $300 million 3 years 0% 10% B 300 4 6 10 C 400
Consider the following bond portfolio:
Bond Value Maturity Coupon Yield
-----------------------------------------------------------------------------
A $300 million 3 years 0% 10%
B 300 4 6 10
C 400 8 0 10
Calculate the capital loss on this portfolio if the yield increases from 10 to 12 percent.
Suppose the portfolio is to be immunized over an investment horizon of approximately 5.19 years. Determine the market value of the immunized portfolio at the end of 5.19 years.
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International Finance Transactions Policy And Regulation
Authors: Hal S. Scott
15th Edition
159941547X, 978-1599415475
