What is dollar duration of bond

Assignment Help Financial Management
Reference no: EM131558751

A portfolio manager owns $6 million par value of bond ABC. The bond is trading at 80 and has a modified duration of 7. The portfolio manager is considering swapping out of bond ABC and into bond XYZ. The price of this bond is 75 and it has a modified duration of 3.5.

(a) What is the dollar duration of bond ABC per 100-basis-point change in yield?

(b) What is the dollar duration for the $5 million position of bond ABC?

(c) How much in market value of bond XYZ should be purchased so that the dollar duration of bond XYZ will be approximately the same as that for bond ABC?

Reference no: EM131558751

Questions Cloud

Include an example of company with diversified portfolio : Include an example of a company with a diversified portfolio.
Company loan investment after changes in interest rates : What is the market value of the insurance company’s loan investment after the changes in interest rates?
What is importance of markowitz mean-variance framework : What is the importance of the Markowitz mean-variance framework and how it is used by investors.
What is the effective combined income tax rate : what is the effective combined income tax rate ?(t?)?
What is dollar duration of bond : A portfolio manager owns $6 million par value of bond ABC. What is the dollar duration of bond ABC per 100-basis-point change in yield?
What is the change in the npv of project solely : What is the change in the NPV of a project solely due to the additional net working capital (NWC) needs?
What do you think still needs work or improvement : What do you think you'll take with you (in terms of learning) to other classes and beyond? What do you think still needs work or improvement?
Investors should be able to consistently beat the market : According to the EMH, it’s improbable that investors should be able to consistently “beat the market”. Why?
Forces will be at play to obtain uncovered interest parity : why this is a disequilibrium situation and what market forces will be at play to obtain uncovered interest parity.

Reviews

Write a Review

Financial Management Questions & Answers

  Foreign company acquisition

Acquisition by a foreign company and the effects of that decision and the results of foreign exchange in Euro and the exchange rate differences.

  Financial management for profit and non profit organizations

In this essay, we are going to discuss the issues of financial management in a non-profit organisation.

  Method for estimating a venture''s value

Evaluate venture's present value, cash and surplus cash and basic venture capital.

  Replacement analysis

This document show the Replacement Analysis of modling machine. Is replacement give profit to company or not?

  Business finance task - capital budgeting

Your company is considering using the payback period for capital-budgeting. Discuss the advantages and disadvantages of this technique.

  Analysis of the investment

In this project, you will focus on one of these: the additional cost resulting from the purchase of an apple press (a piece of equipment required to manufacture apple juice).

  Conduct a what-if analysis

Review the readings and media for this unit, including the Anthony's Orchard case study media. Familiarise yourself with the Anthony's Orchard company and its current situation.

  Determine operational expenditures

Organisations' behaviour is guided by financial data. In the short term, such data will help determine operational expenditures; in the long term, historical data may help generate forecasts aimed at determining strategic plans. In both instances.

  Personal financial management

How much will you have left over each half year if you adopt the latter course of action?

  Sources of finance for expansion into new foreign markets

A quoted company is considering several long-term sources of finance for expansion into new foreign markets.

  Long term financial planning

This assignment is designed for analyze Long term financial planning begins with the sales forecast and the key input in the long term fincial planning.

  Explain the role of fincial manager

This assignment explain the role of fincial manager, function of manger. And what are the motives of financial manager.

Free Assignment Quote

Assured A++ Grade

Get guaranteed satisfaction & time on delivery in every assignment order you paid with us! We ensure premium quality solution document along with free turntin report!

All rights reserved! Copyrights ©2019-2020 ExpertsMind IT Educational Pvt Ltd