What is the percent change in the value of a bond portfolio with a modified duration...
What is the percent change in the value of a bond portfolio with a modified duration of 8.25 years with a decrease in interest rates of 45 basis points?
Homework Answers
if rate decrease, the value of portfolio will increase
Percentage change in value of bond portfolio = - modified duration x change in yield
Percentage change in value of bond portfolio = - 8.25 x (-0.45%) = 3.7125% = 3.71%
Answer : 3.7125% = 3.71% (rounded to 2 decimals) [Thumbs up please)
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