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Create a portfolio, Portfolio 1 , that will take long position in first five bonds. What would be the value of Portfolio 1 if the

Create a portfolio, Portfolio

1,

that will take long position in first five bonds. What would be the value of Portfolio

1

if the the Yield to Maturity goes down by

1 %

point? Estimate using modified Duration

(

Duration

/ (1 +

YTM

),

where YTM is Yield to Maturity, but also simulate real change by shifting your yield curve by

1

percentage point.

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