1 a bond portfolio manager holds three bonds in her, Ask an Expert

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1. A bond portfolio manager holds three bonds in her portfolio. Bond 1 has a market value of $25,000,000 and a duration of 2, bond 2 has a market value of $13,300,000 and a duration of 8,5, bond 3 has a market value of $32,343,000 and a duration of 13. What is the duration of the portfolio?

2. Consider a 25-year 6% coupon bond priced at 70.357 (par value is $100) with yield to maturity of 9%. Compute the approximate duration for a 10 basis point change in yield (use 0.001 for delta y in the approximate duration formula).

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Financial Management, Finance

Category:- Financial Management
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