What is the percnet change in the value of a bond portfolio with a modified duration...
What is the percnet change in the value of a bond portfolio with a modified duration of 4.73 years with an increase in interest rates of 75 basis points?
Homework Answers
PERCENTAGE CHANGE IN VALUE OF BOND PORTFOLIO = - MODIFIED DURATION X CHANGE IN YIELD
PERCENTAGE CHANGE IN VALUE OF BOND PORTFOLIO = - 4.73 X 0.75% = -3.5475% = -3.55%
VALUE OF PORTFOLIO WILL DECLINE BY 3.5475%
Answer : - 3.5475% = -3.55% (rounded to 2 decimals) {Thumbs up please)
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