51 Today is 1 July, 2019. Siobhán has a portfolio which consists of two different types of financial instruments (henceforth referred to as instrument A and instrument B). Siobhán purchased all instruments on 1 July 2011 to create this portfolio, which is composed of 21 units of instrument A and 39 units of instrument B. Instrument A is a zero-coupon bond with a face value of $100. This bond matures at par. Its maturity date is 1 January 2029. Instrument B is a Treasury bond with a coupon rate of j2=2.29% p.a. and a face value of $100. This bond matures at par. Its maturity date is 1 January 2022. Calculate the current duration of Siobhán’s portfolio using a yield to maturity of j2=2.58% p.a. Express your answer in terms of years and round your answer to two decimal places.
51 Today is 1 July, 2019. Siobhán has a portfolio which consists of two different types of financial instruments (henceforth referred to as instrument A and instrument B). Siobhán purchased all instruments on 1 July 2011 to create this portfolio, which is composed of 21 units of instrument A and 39 units of instrument B. Instrument A is a zero-coupon bond with a face value of $100. This bond matures at par. Its maturity date is 1 January 2029. Instrument B is a Treasury bond with a coupon rate of j2=2.29% p.a. and a face value of $100. This bond matures at par. Its maturity date is 1 January 2022. Calculate the current duration of Siobhán’s portfolio using a yield to maturity of j2=2.58% p.a. Express your answer in terms of years and round your answer to two decimal places.
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
Problem 1PS
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Today is 1 July, 2019. Siobhán has a portfolio which consists of two different types of financial instruments (henceforth referred to as instrument A and instrument B). Siobhán purchased all instruments on 1 July 2011 to create this portfolio, which is composed of 21 units of instrument A and 39 units of instrument B. Instrument A is a zero-coupon bond with a face value of $100. This bond matures at par. Its maturity date is 1 January 2029. Instrument B is a Treasury bond with a coupon rate of j2=2.29% p.a. and a face value of $100. This bond matures at par. Its maturity date is 1 January 2022. Calculate the current duration of Siobhán’s portfolio using a yield to maturity of j2=2.58% p.a. Express your answer in terms of years and round your answer to two decimal places. |
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