Question
We are holding a portfolio of bonds with a total face value of $10M and a current market value of $9,876,543.21. We have calculated that
We are holding a portfolio of bonds with a total face value of $10M and a current market value of $9,876,543.21.
We have calculated that the Macaulay duration of our portfolio is 7.6 years and the modified duration is 7.4.
What change in value of our portfolio would we expect if interest rates decrease by two basis points?
A. Drop by about $15200
B. Drop by about $14600
C. Rise by about $14600
D. Rise by about $15200
E. None of the above
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To find out change in portfolio value We need current value of portfolio 987654321 We need modifi...
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Financial Reporting Financial Statement Analysis And Valuation A Strategic Perspective
Authors: James M. Wahlen, Stephen P. Baginski, Mark Bradshaw
9th Edition
1337614689, 1337614688, 9781337668262, 978-1337614689
