Question
On September 28th, 2021, we created a Bond portfolio, purchasinga nominal of 25 million in each of the two following Bonds: a) Spanish Bond ES0000012G3,
On September 28th, 2021, we created a Bond portfolio, purchasinga nominal of 25 million in each of the two following Bonds:
a)Spanish Bond ES0000012G3, coupon 1.25%, maturity 31 OCT 2030
Clean price: 108.04
b)Italian Bond IT0005413171, coupon 1.65% (semi-annual), maturity 1 DEC 2030. Coupon payment dates are June 1stand December 1st.
Clean price: 109.36
Questions:
1.Calculate the total considerationto pay, in euros, for the purchase of these two bonds
.2.Calculate, for each of the bonds: YTM, Duration, Modified Duration and Sensitivity.
3.Calculate the portfolio Duration.
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Fundamentals Of Financial Accounting
Authors: Fred Phillips, Shana Clor Proell, Robert Libby, Patricia Libby
7th Edition
1265440166, 978-1265440169
