Assume the following yield curve for zero-coupon bonds: a. What is the Macaulay duration of each of

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Assume the following yield curve for zero-coupon bonds: image text in transcribed

a. What is the Macaulay duration of each of the bonds?

b. Assume your HD is three years and you want to buy bonds with one-year and four-year maturities. What percentage investment should be made in each to assure a fully immunized portfolio?

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Bond Evaluation Selection And Management

ISBN: 103132

2nd Edition

Authors: R. Stafford Johnson

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Question Posted: Sep 20, 2024 01:02 AM

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Assume the following yield curve for zero-coupon bonds: a. What is the Macaulay duration of each of

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Maturity YTM 1 year 5% 2 years 6% 3 years 7% 8% 4 years 5 years 9%

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Bond Evaluation Selection And Management

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