The duration of a portfolio is equal to the value-weighted average of the durations of the bonds in the portfolio. If you have the following portfolio of bonds and its mod duration is 5.6 years:| Bond | Value in $$ | Mod Duration ||------|-------------|--------------|| A | 220,000 | 3.3 || B | 440,000 | x=? |then the mod duration of Bond B is ..................................... years.**Hint:** Compute the weight of each bond in the total first.

Answer : Modified duration of the portfolio = Total of (Modified duration of bond*Weight of bond)…

Answered: e in $$ 0,000 0.000

Business

Accounting

e in $$ 0,000 0.000

FINANCIAL ACCOUNTING

10th Edition

ISBN:9781259964947

Author:Libby

Publisher:Libby

Chapter1: Financial Statements And Business Decisions

Section: Chapter Questions

Problem 1Q

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Question

The duration of a portfolio is equal to the value-weighted average of the durations of the bonds in the portfolio. If you have the following portfolio of bonds and its mod duration is 5.6 years:

| Bond | Value in $$ | Mod Duration |
|------|-------------|--------------|
| A | 220,000 | 3.3 |
| B | 440,000 | x=? |

then the mod duration of Bond B is ..................................... years.

**Hint:** Compute the weight of each bond in the total first.

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