Solution-Find duration of fixed income portfolio

Find duration of fixed income portfolio

Reference no: EM132999446

You have a fixed income portfolio worth $1,000,000. The yield curve is flat at 4.5% per year. Suddenly, interest rates increase, with the yield curve shifting up by 0.5% (i.e., from 4.5% to 5.0%). Your portfolio's value drops by $20,000 as a result. What must have been the duration of your fixed income portfolio before this change in interest rates?

Reference no: EM132999446

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Find duration of fixed income portfolio

Reference no: EM132999446

Reference no: EM132999446

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