Approximate macaulay duration of the portfolio

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Reference no: EM132020260

1. A fixed-income portfolio is invested equally among three zero-coupon bonds with maturities of 2 years, 4 years, and 10 years. What is the approximate Macaulay duration of the portfolio?

a) 7.25

b) 10

c) 5.33

d) none of the above.

2. A 15 year coupon bond, that makes payments annually, has a coupon rate of 5%. The market discount rate on the bond is 8%. If interest rates were to rise by 100 bps today, how long would it take before the reinvested coupon payments offset the capital loss?

a) 14.37 years

b) 8.56 years

c) 11.02 years

d) none of the above.

Reference no: EM132020260

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