Question
Your company asks you to manage a short-term guaranteed investment contract. Your job is to create a portfolio that has a 4-year duration. (a) If
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Your company asks you to manage a short-term guaranteed investment contract. Your job is to create a portfolio that has a 4-year duration.
(a) If you are given the choice of using a 5-year zero coupon bond and a 3-year 8% annual coupon bond with a yield to maturity of 10%, how would you construct your portfolio?
(b) What is the modified duration of that 3-year annual coupon bond in (a)?
(c) If the yield to maturity of that 3-year annual coupon bond decreases to 8.045%, how much percentage change in price would you expect to see using modified duration?
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The Social Work Ethics Audit A Risk Management Tool
Authors: Frederic G. Reamer
1st Edition
0871013282, 978-0871013286
