Question
Consider the following portfolio of four bonds: Bond Years to Maturity Annual Coupon Yield to Maturity Proportion in Portfolio K 3 5% 4% 0.5 L
Consider the following portfolio of four bonds:
| Bond | Years to Maturity | Annual Coupon | Yield to Maturity | Proportion in Portfolio |
| K | 3 | 5% | 4% | 0.5 |
| L | 6 | 0% | 4% | 0.3 |
| M | 10 | 0% | 4% | 0.1 |
| N | 15 | 0% | 4% | 0.1 |
What is the modified duration of this portfolio (round your answer to two decimal places)?
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Fundamentals of Investments Valuation and Management
Authors: Bradford D. Jordan, Thomas W. Miller
5th edition
978-007728329, 9780073382357, 0077283295, 73382353, 978-0077283292
