Please use at least 3 decimals to calculate all the steps and make sure you answer all the questions. 1. Assume that you are a bond fund manager. Now, you have three bonds in your portfolio (A, B, and C) Bond Par value Duration | Coupon Time to Coupon ($million) (annual %) frequency (years) 1.2 Annual 10.8 4.49 5 5 Semi-annual 5.74 6.5 7 Quarterly Bond yield to maturity is 5 percent for bond A. - What is the duration of bond A? - What is the portfolio duration? What is the portfolio modified duration given the portfolio yield is 6 percent? What will be the portfolio value if we expect that the yield will go up by 150 basis points? Please calculate this based on both duration and convexity. Assume that the convexity is the square of portfolio modified duration