Please no written by hand solutions Today is 1 July, 2019. Siobhán has a portfolio whichconsists of two different types of financial instruments(henceforth referred to as instrument A and instrumentB). Siobhán purchased all instruments on 1 July 2010to create this portfolio, which is composed of 23 unitsof instrument A and 20 units of instrument B.• Instrument A is a zero-coupon bond with a facevalue of $100. This bond matures at par. Its maturitydate is 1 January 2029.• Instrument B is a Treasury bond with a coupon rateof j2=3.01% p.a. and a face value of $100. This bondmatures at par. Its maturity date is 1 January 2022.Calculate the current duration of Siobhán's portfoliousing a yield to maturity of j₂=3.07% p.a. Express youranswer in terms of years and round your answer to twodecimal places.O a. 6.66 yearsO b. 5.70 yearsO c. 5.44 yearsO d. 7.23 years

Portfolio duration is the weighted sum of the durations of all securities held in the portfolio. The…

day is 1 July, 2019. Siobhán has a portfolio which onsists of two different types of financial instruments enceforth referred to as instrument A and instrument . Siobhán purchased all instruments on 1 July 2010

day is 1 July, 2019. Siobhán has a portfolio which onsists of two different types of financial instruments enceforth referred to as instrument A and instrument . Siobhán purchased all instruments on 1 July 2010

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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Question

Please no written by hand solutions

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 2010
to create this portfolio, which is composed of 23 units
of instrument A and 20 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=3.01% 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=3.07% p.a. Express your
answer in terms of years and round your answer to two
decimal places.
O a. 6.66 years
O b. 5.70 years
O c. 5.44 years
O d. 7.23 years

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