Question
Your portfolio consists of 3 types of bonds: 2 units of bonds with 5 years maturity, 3% annual coupon, 4% YTM, 10 million par value;
Your portfolio consists of 3 types of bonds:
2 units of bonds with 5 years maturity, 3% annual coupon, 4% YTM, 10 million par value; 3 units of bonds with 10 years maturity, 9% annual coupon, 7% YTM, 10 million par-value 1 unit of bond with a maturity of 2 years, 6% annual coupon, 3% YTM, 10 million par value. What is the modified duration of your portfolio?
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Monetary Policy And Public Finance
Authors: G. C. Hockley
1st Edition
1138704792, 978-1138704794
