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 the 4-year bond is b. the duration of the 12-years bond is c. The total value of the 500 4-year zero-coupon bonds is (rounded to 2 digits accuracy) d. The total value of the 300 12-year bonds is (rounded to 2 digits accuracy) e. The total value of your 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 the 4-year bond is b. the duration of the 12-years bond is c. The total value of the 500 4-year zero-coupon bonds is (rounded to 2 digits accuracy) d. The total value of the 300 12-year bonds is (rounded to 2 digits accuracy) e. The total value of your 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 17P: Bond Value as Maturity Approaches An investor has two bonds in his portfolio. Each bond matures in 4...
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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 the 4-year bond is
b. the duration of the 12-years bond is
c. The total value of the 500 4-year zero-coupon bonds is (rounded to 2 digits accuracy)
d. The total value of the 300 12-year bonds is (rounded to 2 digits accuracy)
e. The total value of your portfolio is (rounded to two digits accuracy)
f. The duration of your bond portfolio is (rounded to two digits accuracy)
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