Question
You manage a $100 million Treasury bond portfolio. You worry about what could happen to the portfolios value as yields change. The duration and convexity
You manage a $100 million Treasury bond portfolio. You worry about what could happen to the portfolios value as yields change. The duration and convexity of your portfolio is 20 and 400, respectively. Over the next year, yields are expected to go up by 50bps and volatility of yields to be 5.5793bps. If so, then by the end of the year, the value of your portfolio is:
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Investment Science
Authors: David G. Luenberger
1st Edition
0195108094, 978-0195108095
