Question
Question 21 Here are some bond information: Bond coupon% Maturity(year) Yield to Maturity (%) 1 5 1 4.5 2 5 2 5 3 0 3
Question 21 Here are some bond information:
| Bond | coupon% | Maturity(year) | Yield to Maturity (%) |
| 1 | 5 | 1 | 4.5 |
| 2 | 5 | 2 | 5 |
| 3 | 0 | 3 | 5.5 |
Coupons are paid annually. a) Please price a bond with 5% coupon rate and 3 year time to maturity b) Please calculate the modified duration of a portfolio investing 30% in bond 1 and 70% in bond 3 c) The yield curve just shifted up by 0.15%. How much did the value of the portfolio in question b change?
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Personal Finance Turning Money into Wealth
Authors: Arthur J. Keown
7th edition
978-0133856507, 013385650X, 133856437, 978-0133856439
