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Please answer using all excel formulas with only the information provided. 4. You are provided with the following Treasury Bond quotes: Issue Date Maturity Coupon

Please answer using all excel formulas with only the information provided. image text in transcribed
4. You are provided with the following Treasury Bond quotes: Issue Date Maturity Coupon Bid Asked Settlement date Ask Yield 9/19/2014 11/15/2013 11/15/2015 9.875 111.0859 111.1094 0.173 9/19/2014 4/30/2013 4/30/2016 2.625 103.5078 103.5313 0.416 a) Compute the Modified duration of a portfolio of $10 million par of each of the above two bonds. b) Compute the PVBP of a portfolio of $10 million par of each of the above two bonds. c) Compute the Duration of a portfolio of $10 million par of each of the above two bonds. 4. You are provided with the following Treasury Bond quotes: Issue Date Maturity Coupon Bid Asked Settlement date Ask Yield 9/19/2014 11/15/2013 11/15/2015 9.875 111.0859 111.1094 0.173 9/19/2014 4/30/2013 4/30/2016 2.625 103.5078 103.5313 0.416 a) Compute the Modified duration of a portfolio of $10 million par of each of the above two bonds. b) Compute the PVBP of a portfolio of $10 million par of each of the above two bonds. c) Compute the Duration of a portfolio of $10 million par of each of the above two bonds

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