Chap011 - Chapter 11 - Managing Bond Portfolios 11-1...

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Unformatted text preview: Chapter 11 - Managing Bond Portfolios 11-1 CHAPTER 11 MANAGING BOND PORTFOLIOS 1. . 2. . 3. . 4. D = 10.09 5. 6. . 7. . 8. Computation of duration: a. YTM = 6% Duration = 2.833 years Chapter 11 - Managing Bond Portfolios 11-2 b. YTM = 10% Duration = 2.824 years 9. The percentage bond price change is: 3.27% decline 10. Computation of duration, interest rate = 10%: Duration = 1.9524 years 11. w = 9.048/10 = 0.9048 . 12. 0.463% increase Chapter 11 - Managing Bond Portfolios 11-2 b. YTM = 10% Duration = 2.824 years 9. The percentage bond price change is: 3.27% decline 10. Computation of duration, interest rate = 10%: Duration = 1.9524 years 11. w = 9.048/10 = 0.9048 . 12. 0.463% increase Chapter 11 - Managing Bond Portfolios 11-3 13. a. b. . 14. Choose the longer-duration bond to benefit from a rate decrease. . 15. a. The present value of the obligation is $17,832.65 and the duration is 1.4808 years, as shown in the following table: b....
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Chap011 - Chapter 11 - Managing Bond Portfolios 11-1...

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