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Following on from Question 2, derive the portfolio's modified duration and compute the sensitivity of the portfolio to a change in its yield to maturity.

Following on from Question 2, derive the portfolio's modified duration and compute the sensitivity of the portfolio to a change in its yield to maturity. Assume a change of 35bps occurs in either direction. For this exercise, the portfolio's aggregate value is $100 and there is no convexity.

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