A $10M bond portfolio consists of the following three holdings: $3M with an average duration of 6.7 $5M with an average duration of 4.2 $7M with an average duration of 8.9 The yield curve of interest rates associated with the portfolio undergoes a parallel increase of 0.3%. What is the change in the value of the portfolio, expressed in dollars? Be sure to say whether it's a gain or a loss.

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
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A $10M bond portfolio consists of the
following three holdings:
$3M with an average duration of 6.7
$5M with an average duration of 4.2
$7M with an average duration of 8.9
The yield curve of interest rates associated
with the portfolio undergoes a parallel
increase of 0.3%. What is the change in the
value of the portfolio, expressed in dollars? Be
sure to say whether it's a gain or a loss.
Transcribed Image Text:A $10M bond portfolio consists of the following three holdings: $3M with an average duration of 6.7 $5M with an average duration of 4.2 $7M with an average duration of 8.9 The yield curve of interest rates associated with the portfolio undergoes a parallel increase of 0.3%. What is the change in the value of the portfolio, expressed in dollars? Be sure to say whether it's a gain or a loss.
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