Solution-Compute the modified duration of a portfolio

Compute the modified duration of a portfolio

Reference no: EM133074369

You are provided with the following Treasury Bond quotes:

Settlement date	Issue Date	Maturity	Coupon	Bid	Asked	Ask Yield
9/19/2014	11/15/2013	11/15/2015	9.875	111.0859	111.1094	0.173
9/19/2014	4/30/2013	4/30/2016	2.625	103.5078	103.5313	0.416

Compute the Modified duration of a portfolio of $10 million par of each of the above two bonds.
Compute the PVBP of a portfolio of $10 million par of each of the above two bonds.
Compute the Duration of a portfolio of $10 million par of each of the above two bonds.

Reference no: EM133074369

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Compute the modified duration of a portfolio

Reference no: EM133074369

Reference no: EM133074369

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