Question
Consider two bonds X and Y. For $100 par, the market value is $80 for bond X and $90 for bond Y. The modified duration
Consider two bonds X and Y. For $100 par, the market value is $80 for bond X and $90 for bond Y. The modified duration is 5 and 4 respectively. Suppose that a portfolio manager owns $5 million of par value of bond X
i.what is the dollar duration per 100-basis-point of bond X ($5 million of par value)?
ii.if the portfolio manager wants to trade bond X with bond Y so that the interest exposure for her portfolio does not change, how much par value of bond Y should be purchased?
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Financial Management Principles And Applications
Authors: Sheridan Titman, Arthur Keown, John Martin
13th Global Edition
1292222182, 978-1292222189
