Maurice Tutor

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    Argosy University/ Phoniex University/
    Nov-2005 - Oct-2011

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  • Professor
    Phoniex University
    Oct-2001 - Nov-2016

Category > Business & Finance Posted 12 May 2018 My Price 7.00

dollar convexity

Please answer question C5C5. Consider a bond portfolio worth $50mil with DV01 equal to $10,000 and dollar convexity equal to $400mil. (a) Assume that the yield curve moves up by fifty basis points. What is the new value of your bond portfolio? (b) The following bonds are available for trading Principal value Duration Convexity Bond 1 100 104 2.5 Bond 2 100 106 How do you immunize the portfolio? What is the new value of the immunized portfolio if the yield curve moves up by fifty basis points? h4500 ans pdf

Consider a bond portfolio worth $50mil with DV01 equal to $10,000 and dollar convexity equal to $400mil. (a) Assume that the yield curve moves up by fifty basis points. What is the new value of your bond portfolio? (b) The following bonds are available for trading: How do you immunize the portfolio? What is the new value of the immunized portfolio if the yield curve moves up by fifty basis points?

Answers

Maurice Tutor
(5)
Status NEW Posted 12 May 2018 06:05 PM My Price 7.00

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