Question
Consider the following prices for bonds (with face value 100): Portfolio Maturity (years) Coupon rate Yield-to-maturity A 1 5% 4.5% B 2 5% 5.0% C
Consider the following prices for bonds (with face value 100):
| Portfolio | Maturity (years) | Coupon rate | Yield-to-maturity |
| A | 1 | 5% | 4.5% |
| B | 2 | 5% | 5.0% |
| C | 3 | 0% | 5.5% |
Coupons are paid annually. What is the modified duration of a bond portfolio with 30% invested in Bond B, and 70% invested in Bond C?
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An Introduction To Personal Finance
Authors: Anne Marie Ward
2nd Edition
1907214267, 978-1907214264
