You own a bond portfolio worth $393,353. The bonds have a weighted average duration of 16.5...
You own a bond portfolio worth $393,353. The bonds have a
weighted average duration of 16.5 years.
If market rates rise by 35 basis points, by how much would the bond
portfolio be expected to change in value? Be sure to include the
correct sign and enter your result rounded to the nearest
integer.
Homework Answers
Percentage change in price = -Duration*Interest rate rise =
-16.5*0.35% = -5.775%
Expected change in price = -5.775%*393353 = -22716.14 or
-22716
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