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Suppose we have a portfolio of two bonds with the weights being 50% and 50% and the current YTM is 10%. We also know that,
Suppose we have a portfolio of two bonds with the weights being 50% and 50% and the current YTM is 10%. We also know that, for a 50 basis point increase in interest rate, the first bond price decreases by about 6% and the second bond price decrease by about 4%. What is the duration of the portfolio? |
A. 10
B. 11
C. 12
D. 13
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