has a nominal 1. A manager 5,000,000 of bonds A, with a modified duration of 6% and which is negotiate at a price of
has a nominal 1. A manager 5,000,000 of bonds A, with a modified duration of 6% and which is negotiate at a price of 70%. Said manager is thinking of selling bonds A and buy bonds B, the latter have a price of 85% and a modified duration of 3.5%. a) What is the sensitivity of the price of bond A to a variation of 100 bp in the IRR of the bond? b) And what about bond b?
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a Change in yield 100 bp 100001 1 percent Change in price pricemodified durationchange in yield 7061 ...
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Authors: David F. Groebner, Patrick W. Shannon, Phillip C. Fry
9th Edition
013302184X, 978-0133021844
