Portfolio Duration --- Given the following bonds, compute the respective bond portfolios duration and yield (YTM).

a) Ladder (equal weighting for all bond). Duration:______ YTM:_____

b) Bullet (50% weighting of the each of the two middle maturity bonds Champ and Dino). Duration:______ YTM:_____

c) Barbell (50% weighting of the lowest and highest maturity bonds Ajax and Figleaf). Duration:______ YTM:_____

d) If the yield curve moved up by 1% in a parallel manner, which portfolio would likely suffer the greatest loss in value/price (ladder, bullet or barbell)?

e) If the yield flattened, which portfolio would likely suffer the greatest increase in value/price? (ladder, bullet or barbell)?

Bond Ajax Bounty Champ Dino Elf Figleaf Coupon 1.50% 2.50% 3.50% 4.50% 5.00% 6.00% Price $YTM 99.02 2.00% 1.96 97.69 3.00% | 4.66 95.91 4.00% | 8.32 94.77 5.00% 10.67 88.44 6.00% 12.01 88.27 7.00% | 12.09 Maturity Yr 2 Duration 10 15 20 25 Bond Ajax Bounty Champ Dino Elf Figleaf Coupon 1.50% 2.50% 3.50% 4.50% 5.00% 6.00% Price $YTM 99.02 2.00% 1.96 97.69 3.00% | 4.66 95.91 4.00% | 8.32 94.77 5.00% 10.67 88.44 6.00% 12.01 88.27 7.00% | 12.09 Maturity Yr 2 Duration 10 15 20 25