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you are a pension fund manager with two investments in your portfolio currently with a total market value of $10 million. The current market interest
you are a pension fund manager with two investments in your portfolio currently with a total market value of $10 million. The current market interest rates on both investments are 8%. You have a 10-year zero coupon bond with 6 years to mature currently worth $4 million. You also own a 4 year 11% annual coupon bond with 5 years to mature worth $6 million currently with a duration of 4.5 years. If the market interest rates were to increase by 10 basis points tomorrow, what is your total portfolio gains/loss?
you are a pension fund manager with two investments in your portfolio currently with a total market value of $10 million. The current market interest rates on both investments are 8%. You have a 10-year zero coupon bond with 6 years to mature currently worth $4 million. You also own a 4 year 11% annual coupon bond with 5 years to mature worth $6 million currently with a duration of 4.5 years. If the market interest rates were to increase by 10 basis points tomorrow, what is your total portfolio gains/loss?
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