You have a portfolio of 500 zero coupon bonds each with 4 years maturity, and 300 zero coupon bonds each with a 12 years maturity. Assume that 4-years spot rate is 4% and the 12 years spot rate is 5.5%. a. The duration of your bond portfolio is (rounded to two digits accuracy)

You have a portfolio of 500 zero coupon bonds each with 4 years maturity, and 300 zero coupon bonds each with a 12 years maturity. Assume that 4-years spot rate is 4% and the 12 years spot rate is 5.5%. a. The duration of your bond portfolio is (rounded to two digits accuracy)

Intermediate Financial Management (MindTap Course List)

13th Edition

ISBN:9781337395083

Author:Eugene F. Brigham, Phillip R. Daves

Publisher:Eugene F. Brigham, Phillip R. Daves

Chapter4: Bond Valuation

Section: Chapter Questions

Problem 8MC: Suppose a 10-year, 10% semiannual coupon bond with a par value of 1,000 is currently selling for...

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a. The duration of your bond portfolio is (rounded to two digits accuracy)

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