What is the dollar duration of bond abc change in yield

Reference no: EM131781143

Question: A portfolio manager owns $5 million par value of bond ABC. The bond is trading at 70 and has a modified duration of 6. The portfolio manager is considering swapping out of bond ABC and into bond XYZ. The price of this bond is 85 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?

d. How much in par 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: EM131781143

Questions Cloud

Prepare the general journal entry to record depreciation : Prepare the general journal entry to record depreciation expense for the equipment in 2012

Ordering and carrying costs by using the EOQ : How much could the firm save annually in ordering and carrying costs by using the EOQ?

Economic crisis companies are facing today : Because of the economic crisis companies are facing today, there has been a sharp decline in worker confidence in business.

Generally used to protect intellectual property : What started out as wild brainstorming now looks to you like a real possibility, What legal techniques are generally used to protect intellectual property?

What is the dollar duration of bond abc change in yield : A portfolio manager owns $5 million par value of bond ABC. The bond is trading at 70 and has a modified duration of 6. The portfolio manager is considering.

Provide the annual requirement : An outside supplier has offered to provide the annual requirement of 10,000 of the parts for only $27 each.

Discuss what would be the effect on income - increase : Noreaster Company produces a product that has a regular selling price of $360 per unit. At a typical monthly production volume of 2,000 units

Which portfolio strategy-smith affiliated capital pursuing : When the economy begins to rebound and interest rates start to move up, Smith Affiliated Capital will swap 30-year Treasuries for 10-year.

Compute the coefficient of correlation : Compute the sample variance. Compute the coefficient of correlation.

User Account

All Pages