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Today is 1 July 2 0 2 1 . Joan has a portfolio which consists of two different types of financial instruments ( henceforth referred
Today is July Joan has a portfolio which consists of two differenttypes of financial instruments henceforth referred to as instrument A and instrumentB Joan purchased all instruments on July tocreate this portfolio and this portfolio is composed of units of instrumentA and units of instrument B
Instrument A is a zerocoupon bond with a face value of This bond matures at par. The maturity date is January
Instrument B is a Treasury bond with a coupon rate of j pa and face value of This bond matures at par. The maturity date is January
aCalculate the current price of instrument A per $ face value todays valueRound your answer to four decimal places. Assume the yield rate isj pa
bCalculate the current price of instrument B per $ face value todays valueRound your answer to four decimal places. Assume the yield rate isj pa and Joan has just received the coupon payment.
cWhat is the current duration of instrument B Express your answer interms of years and round your answer to three decimal places.Assume the yield rate isjpa
dBased on the price in part a and part b and the duration value in part ccalculate the current duration of Joans portfolio. Express your answerin terms of years and round your answer to two decimal places.
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