1 answer

B. A bond portfolio consists of the following three annual coupon payment bonds. Prices are per...

Question:

b. A bond portfolio consists of the following three annual coupon payment bonds. Prices are per 100 of par value. Price Coupo
b. A bond portfolio consists of the following three annual coupon payment bonds. Prices are per 100 of par value. Price Coupon (%) Bond Maturity Market (years) Value 171,000 B 10 161,800 C 15 150.000 Modified Duration (years) 5.23 3.00 Yield-to- Maturity (%) 5.95 5.99 6.00 85.50 80.90 100.00 3.40 6.00 7.98 9.71 i. Determine the weight of each bond in the bond portfolio. (3 marks) ii. Calculate the bond portfolio's modified duration. (2 marks)

Answers

Weight of each bond and Bond's portfolio duration are as follows:

wrijht of ur bon d . Bond Market vdue No 01 Prce Jerpnt A io00 85-50 Qo000.3636 2o00 5500 IGI800 0.3636 కు 50.00 1500 Stos0D

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