Question 2: The table below gives the prices (per 100 of par value), coupon rates, maturities, and durations of three se

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Question 2 The Table Below Gives The Prices Per 100 Of Par Value Coupon Rates Maturities And Durations Of Three Se 1 (35.71 KiB) Viewed 36 times

Question 2: The table below gives the prices (per 100 of par value), coupon rates, maturities, and durations of three semiannual coupon bonds. a) What is the duration of a portfolio that is long $50mm face amount of each of the 5- and 10-year bonds? 3pt) b) What portfolio of the 5- and 30-year bonds has the same market price and duration as the portfolio of part a)? Answer b) by calculating the face amount of the 5-year bond (2pt) and the face amount of the 30-year bond (2pt) in this portfolio Coupon Maturity Duration Market Price 102.248 2.50% 5 years 4.687 2.75% 10 years 100.000 8.691 3 5 6 396 30 years 95.232 19.393