What is the portfolio exposure to one-basis point movement

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Question

You are the portfolio manager holding three of the 12 Salmon bonds, all selling to yield 10% and pay coupons every year: (A) 10% coupon rate for 5 years, (B) 8% coupon rate for 15 yeara, and (C) 14% coupon rate for 30 year. You allocated $3 million to A, $6 million to B, and $2 million to C. What is the portfolio exposure to a one-basis point movement or the impact of one-basis points to the portfolio value? [Here, your answer in the text should explain the steps you follow to solve this question, and the Appendix includes a table for all bond cash ?ows]

Reference no: EM133224124

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