Today is 1 July 2021. Joan has a portfolio which consists of two different types of financial instruments (henceforth referred to as instrument A and instrument B). Joan purchased all instruments on 1 July 2017 to create this portfolio and this portfolio is composed of 385 units of instrument A and 334 units of instrument B. • Instrument A is a zero-coupon bond with a face value of 100. This bond matures at par. The maturity date is 1 January 2030. • Instrument B is a Treasury bond with a coupon rate of j₂ = 2.99% p.a. and face value of 100. This bond matures at par. The maturity date is 1 January 2024. (c) What is the current duration of instrument B? Express your answer in terms of years and round your answer to three decimal places. Assume the yield rate is j₂ = 4.07% p.a. a. 2.890 O b. 4.853 ○ c. 2.426 ○ d. 5.779
Today is 1 July 2021. Joan has a portfolio which consists of two different types of financial instruments (henceforth referred to as instrument A and instrument B). Joan purchased all instruments on 1 July 2017 to create this portfolio and this portfolio is composed of 385 units of instrument A and 334 units of instrument B. • Instrument A is a zero-coupon bond with a face value of 100. This bond matures at par. The maturity date is 1 January 2030. • Instrument B is a Treasury bond with a coupon rate of j₂ = 2.99% p.a. and face value of 100. This bond matures at par. The maturity date is 1 January 2024. (c) What is the current duration of instrument B? Express your answer in terms of years and round your answer to three decimal places. Assume the yield rate is j₂ = 4.07% p.a. a. 2.890 O b. 4.853 ○ c. 2.426 ○ d. 5.779
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
Related questions
Question
![Today is 1 July 2021. Joan has a portfolio which consists of two different types of financial instruments (henceforth referred to as instrument A and instrument B). Joan purchased all instruments on 1 July 2017 to create this
portfolio and this portfolio is composed of 385 units of instrument A and 334 units of instrument B.
• Instrument A is a zero-coupon bond with a face value of 100. This bond matures at par. The maturity date is 1 January 2030.
• Instrument B is a Treasury bond with a coupon rate of j₂ = 2.99% p.a. and face value of 100. This bond matures at par. The maturity date is 1 January 2024.
(c) What is the current duration of instrument B? Express your answer in terms of years and round your answer to three decimal places. Assume the yield rate is j₂ = 4.07% p.a.
a. 2.890
O b. 4.853
○ c. 2.426
○ d. 5.779](/v2/_next/image?url=https%3A%2F%2Fcontent.bartleby.com%2Fqna-images%2Fquestion%2F73894435-afbf-43a7-bae7-b8c65df29fa4%2F2cd4e255-c960-4b21-a663-4259a177f307%2Fysrc6ge_processed.png&w=3840&q=75)
Transcribed Image Text:Today is 1 July 2021. Joan has a portfolio which consists of two different types of financial instruments (henceforth referred to as instrument A and instrument B). Joan purchased all instruments on 1 July 2017 to create this
portfolio and this portfolio is composed of 385 units of instrument A and 334 units of instrument B.
• Instrument A is a zero-coupon bond with a face value of 100. This bond matures at par. The maturity date is 1 January 2030.
• Instrument B is a Treasury bond with a coupon rate of j₂ = 2.99% p.a. and face value of 100. This bond matures at par. The maturity date is 1 January 2024.
(c) What is the current duration of instrument B? Express your answer in terms of years and round your answer to three decimal places. Assume the yield rate is j₂ = 4.07% p.a.
a. 2.890
O b. 4.853
○ c. 2.426
○ d. 5.779
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