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In: Finance
You own a bond portfolio worth $149,000. You estimate that your portfolio has an average YTM...
You own a bond portfolio worth $149,000. You estimate that your portfolio has an average YTM of 5% and a Modified Duration of 27.8 years. If your portfolio's average YTM were to increase by 17 basis points overnight, what would be the approximate new value of your portfolio? Round to the nearest dollar.
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jeff jeffy answered 2 years agoRelated Solutions
You own a bond portfolio worth $153,000. You estimate that your portfolio has an average YTM...
You own a bond portfolio worth $153,000. You estimate that your
portfolio has an average YTM of 4.2% and a Modified Duration of
22.7 years. If your portfolio's average YTM were to increase by 16
basis points overnight, what would be the approximate new value of
your portfolio? Round to the nearest dollar.
You have a portfolio with two bonds worth $100 each. Each bond has a 4% probability...
You have a portfolio with two bonds worth $100 each. Each bond
has a 4% probability of defaulting. If the bond defaults it is
worth $0. If it does not default it is worth $100. Defaults are
independent of each other. What is the 95% VaR of each bond, and of
the portfolio?
Currently you are holding a portfolio of stocks worth RM2,465,000. You wish to hedge your portfolio....
Currently you are holding a portfolio of stocks worth
RM2,465,000. You wish to hedge your portfolio. You have the
following information:
Portfolio Beta = 0.90
Spot Index Value= 1530 points
Risk Free Rate = 6% per annum
3 month Stock Index Futures Contract = 1,544.20
Expected Dividend Yield = 0%
The multiplier is RM50
(i) Determine the number of SIF contract to fully hedge your
portfolio.
(ii) Outline the hedge strategy and show the resulting portfolio
value assuming the market...
I currently own a portfolio of stocks worth $10 million that has a beta of 1.2. It...
I currently own a portfolio of stocks worth $10 million that has
a beta of 1.2. It has perfect positive correlation with
the S&P500 index. The risk-free rate is 3%, and the
market risk premium for the S&P500 is 8%. The
S&P500 is currently valued at 2500. The notional
value of one contract is $250*S&P value.
Calculate the one-year futures price on the S&P500
index.
If I want to own a risk-free bond instead of the index,
explain how I can do this without...
What is the duration of your bond portfolio if you invest 30% of your portfolio in...
What is the duration of your bond portfolio if you invest 30% of
your portfolio in a bond with a duration of 12.2 (let’s denote it
BA), 30% in a 20-year zero-coupon bond (let’s denote it BZ), and
40% in a 3-year bond with a 12% annual coupon, par value of $1000,
and a yield to maturity of 7% (let’s denote it BB)? 10.74 years
12.5 years 9.3 years 4 years
The YTM on a bond is the interest rate you earn on your investment if interest...
The YTM on a bond is the interest rate you earn on your
investment if interest rates don’t change. If you actually sell the
bond before it matures, your realized return is known as the
holding period yield (HPY).
A.) Suppose that today you buy a bond with an annual coupon rate
of 7 percent for $1,060. The bond has 21 years to maturity. What
rate of return do you expect to earn on your investment? Assume a
par value...
The YTM on a bond is the interest rate you earn on your investment if interest...
The YTM on a bond is the interest rate you earn on your
investment if interest rates don’t change. If you actually sell the
bond before it matures, your realized return is known as the
holding period yield (HPY).
a.
Suppose that today you buy an annual coupon bond with a coupon
rate of 8.4 percent for $775. The bond has 7 years to maturity and
a par value of $1,000. What rate of return do you expect to earn...
The YTM (yield to maturity) on a bond is the interest rate you earn on your...
The YTM (yield to maturity) on a bond is the interest rate you
earn on your investment if interest rates don’t change. If you
actually sell the bond before it matures, your realized
(annualized) return is known as the holding period yield (HPY).
a. Suppose that today you buy a 9 percent annual coupon bond for
$1140. The bond has 10 years to maturity and par value $1000. What
rate of return do you expect to earn on your investment...
The YTM on a bond is the interest rate you earn on your investment if interest...
The YTM on a bond is the interest rate you earn on your
investment if interest rates don’t change. If you actually sell the
bond before it matures, your realized return is known as the
holding period yield (HPY).
a. Suppose that today you buy a bond with an annual coupon rate
of 8 percent for $1,170. The bond has 16 years to maturity. What
rate of return do you expect to earn on your investment? Assume a
par value...
The YTM on a bond is the interest rate you earn on your investment if interest...
The YTM on a bond is the interest rate you earn on your
investment if interest rates don’t change. If you actually sell the
bond before it matures, your realized return is known as the
holding period yield (HPY).
a.
Suppose that today you buy an annual coupon bond with a coupon
rate of 8.1 percent for $855. The bond has 7 years to maturity and
a par value of $1,000. What rate of return do you expect to earn...
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