Consider the following prices for bonds (with face value 100): Portfolio Maturity (years) Coupon rate Yield-to-maturity
Posted: Tue Nov 16, 2021 8:19 am
Consider the following prices for bonds (with face value
100):
Portfolio
Maturity (years)
Coupon rate
Yield-to-maturity
A
1
5%
4.5%
B
2
5%
5.0%
C
3
0%
5.5%
Coupons are paid annually. What is the modified duration of a
bond portfolio with 30% invested in Bond B, and 70% invested in
Bond C?
100):
Portfolio
Maturity (years)
Coupon rate
Yield-to-maturity
A
1
5%
4.5%
B
2
5%
5.0%
C
3
0%
5.5%
Coupons are paid annually. What is the modified duration of a
bond portfolio with 30% invested in Bond B, and 70% invested in
Bond C?