Question
You are provided with the following Treasury Bond quotes: Settlement date Issue Date Maturity Coupon Bid Asked Ask Yield 9/19/2014 11/15/2013 11/15/2015 9.875% 111.0859 111.1094
You are provided with the following Treasury Bond quotes:
Settlement date | Issue Date | Maturity | Coupon | Bid | Asked | Ask Yield |
9/19/2014 | 11/15/2013 | 11/15/2015 | 9.875% | 111.0859 | 111.1094 | 0.173 |
9/19/2014 | 4/30/2013 | 4/30/2016 | 2.625& | 103.5078 | 103.5313 | 0.416 |
Compute the Modified duration of a portfolio of $10 million par of each of the above two bonds.
Compute the PVBP of a portfolio of $10 million par of each of the above two bonds.
Compute the Duration of a portfolio of $10 million par of each of the above two bonds.
*The parameter of coupon frequency was not provided in the question.
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