Question
The following table provides data on five different bonds (each with a $100 face value). You have been asked to create a portfolio with a
The following table provides data on five different bonds (each with a $100 face value). You have been asked to create a portfolio with a market value of $100M comprising 30% of bond C and 70% of bond D.
|
| A | B | C | D | E |
| Bond price | $ 88.53 | $ 92.64 | $ 113.59 | $ 59.86 | $ 32.20 |
| DV01 | $ 0.05267 | $ 0.03505 | $ 0.07394 | $ 0.04104 | $ 0.0287 |
| DUR (yrs) | 6.31 | 4.01 | 6.9 | 7.27 | 10 |
| CONV | 0.49309 | 0.18142 | 0.56463 | 0.60806 | 0.9345 |
What is the DV01 of the portfolio?
| A. | $5,091 | |
| B. | $50,910 | |
| C. | $67,520 | |
| D. | $6,752 | |
| E. | $0.05091 |
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Introductory Econometrics For Finance
Authors: Chris Brooks
4th Edition
110843682X, 9781108436823
