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You own a fixed-income asset with a duration of six years. If the level of interest rates, which is currently 7.6%, goes down by 15
You own a fixed-income asset with a duration of six years. If the level of interest rates, which is currently 7.6%, goes down by 15 basis points, how much do you expect the price of the asset to go up (in percentage terms)? (Input the value as a positive value. Do not round intermediate calculations. Round your answer to 2 decimal places.) The price of the asset %. You are managing a portfolio of $1.0 million. Your target duration is 19 years, and you can choose from two bonds: a zero- coupon bond with maturity five years, and a perpetuity, each currently yielding 2%. a. How much of (1) the zero-coupon bond and (ii) the perpetuity will you hold in your portfolio? (Do not round intermediate calculations. Round your answers to 2 decimal places.) Zero-coupon bond Perpetuity bond % b. How will these fractions change next year if target duration is now eighteen years? (Do not round intermediate calculations. Round your answers to 2 decimal places.) % Zero-coupon bond Perpetuity bond % do do % Find the duration of a 8% coupon bond making annual coupon payments if it has three years until maturity and a yield to maturity of 7.2%. What is the duration if the yield to maturity is 11.2%? (Do not round intermediate calculations. Round your answers to 4 decimal places.) YTM Duration 7.2% YTM 11.2% YTM
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