te bext General BIU- A.EE Mergea Center - board % - Insert Font Alignment 22 Conditional Formats Cell Formatting Table Styles Styles Number X In Class Exercise: Duration of a Portfolio Assume both assets pay semi-annually and assume full accrual periods (ie don't worry about calculating accrued interest) Yield Coupon 3.25% Modified Duration Effective Duration DVO1 Par Value $10,000 $30,000 $40,000 Asset A Asset B Total Portfolio Market Value $10,350 $29,850 S40,200 1.50% Settle Date Maturity Date 12/31/2020 12/31/2031 12/31/2020 12/31/2026 Effective Duration Stress: 0.25% (PV.) - (PV) Eldur 2 x (ACurve%) * (PV) Bondi Bond2 MV Yield MV Yield base my >> base my >> Sheet1 te bext General BIU- A.EE Mergea Center - board % - Insert Font Alignment 22 Conditional Formats Cell Formatting Table Styles Styles Number X In Class Exercise: Duration of a Portfolio Assume both assets pay semi-annually and assume full accrual periods (ie don't worry about calculating accrued interest) Yield Coupon 3.25% Modified Duration Effective Duration DVO1 Par Value $10,000 $30,000 $40,000 Asset A Asset B Total Portfolio Market Value $10,350 $29,850 S40,200 1.50% Settle Date Maturity Date 12/31/2020 12/31/2031 12/31/2020 12/31/2026 Effective Duration Stress: 0.25% (PV.) - (PV) Eldur 2 x (ACurve%) * (PV) Bondi Bond2 MV Yield MV Yield base my >> base my >> Sheet1