Question
Consider the following two T-bonds, prices are taken on 10/22/2020: Maturity Coupon Bid price Ask price Yield Duration 11/15/2040 4.250% 151.012 151.032 8/15/2050 1.375% 93.124
Consider the following two T-bonds, prices are taken on 10/22/2020:
| Maturity | Coupon | Bid price | Ask price | Yield | Duration |
| 11/15/2040 | 4.250% | 151.012 | 151.032 |
|
|
| 8/15/2050 | 1.375% | 93.124 | 93.144 |
|
|
A pension fund manager has $10m invested in bond 1 and $25m invested in bond2. What will be the total change in value of his portfolio if interest rates increase by 50BP?
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Small Business Finance And Valuation
Authors: Rick Nason, Dan Nordqvist
1st Edition
1952538122, 9781952538124
