A $10M bond portfolio consists of the following three holdings: $3M with an average duration of 6.7 $5M with an average duration of 4.2 $7M with an average duration of 8.9 The yield curve of interest rates associated with the portfolio undergoes a parallel increase of 0.3%. What is the change in the value of the portfolio, expressed in dollars? Be sure to say whether it's a gain or a loss.
A $10M bond portfolio consists of the following three holdings: $3M with an average duration of 6.7 $5M with an average duration of 4.2 $7M with an average duration of 8.9 The yield curve of interest rates associated with the portfolio undergoes a parallel increase of 0.3%. What is the change in the value of the portfolio, expressed in dollars? Be sure to say whether it's a gain or a loss.
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
Problem 1PS
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