Consider a French investment fund that has a €250 million position in a 96-year Austrian government bond. This bond has a 2.10% coupon rate, a par value of €100, an annual Coupon payment frequency and a 0.75% yield. How much would the fund lose if the yield for this bond increased by 100 basis points to 1.75%? Explain your answer clearly.

Consider a French investment fund that has a €250 million position in a 96-year Austrian government bond. This bond has a 2.10% coupon rate, a par value of €100, an annual Coupon payment frequency and a 0.75% yield. How much would the fund lose if the yield for this bond increased by 100 basis points to 1.75%? Explain your answer clearly.

EBK CONTEMPORARY FINANCIAL MANAGEMENT

14th Edition

ISBN:9781337514835

Author:MOYER

Publisher:MOYER

Chapter8: Analysis Of Risk And Return

Section: Chapter Questions

Problem 9P

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