You own the following portfolio on 7 August 2009:
|
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|
Face value |
Price |
Coupon |
Maturity |
Duration |
|
Bond A |
10 million |
88.50 |
5.0% (annual) |
1/7/2014 |
4.41 years |
|
Bond B |
5 million |
111.00 |
12.0% (annual) |
13/3/2012 |
2.31 years |
|
Bond C |
15 million |
94.70 |
6.0% (annual) |
7/10/2013 |
3.61 years |
What is the approximate modified duration of the portfolio? How do you expect the value of the portfolio to change if yields all rise by 10 basis points? Assume that all the bond calculations are on an ACT/ACT basis.
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