What are the durations of each bond

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Today, March 20th, 2009, your bond portfolio consists of three bonds. Bond A is zero-coupon bond which mature on March 20th, 2010, Bond B is coupon bearing bond with coupon rate (4+N/100) %, pays annual coupons and mature on March 20th, 2011, and Bond C is zero-coupon bond which mature on March 20th, 2027. Assume that the yield curve is flat and YTM for all bonds is 5.13% as of today. Today your bond A is worth $1 million, bond B is worth $N million and bond C is worth $2 million.
A. What are the durations of each bond?
B. If yields for all maturities will jump to (5.13+N/100) %, what would be value of your bond portfolio?
C. If yields for all maturities will go down to (5.13-N/100) %, what would be the value of your bond portfolio?

Reference no: EM13694114

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