Fixed Income 1 Paris 2017 PDF

Title	Fixed Income 1 Paris 2017
Author	Biz Hack
Course	Fixed Income
Institution	SKEMA Business School
Pages	2
File Size	56.1 KB
File Type	PDF
Total Downloads	94
Total Views	146

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Fixed Income 1 Paris 2017...

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Fixed Income 1 Final Exam 20 points Paris Campus Answer in sequence (dans l’ordre) on your answer sheet. Use as many answer sheets as you like but answer in sequence. You must show all calculations to get full credit.

1. Consider the following portfolio consisting of 4 bonds. Bond A is a 7 years, 5% coupon bond yielding 5%. Bond-D is a 5-year zero coupon bond yielding 5% (MM= million) BOND A B C D

FACE VALUE 10MM 20MM 10MM 60MM

PRICE (%FV) ? 90 130 ?

DURATION 6 10 15 ?

CONVEXITY 16 21 60 200

What is the portfolio market value? (2pt) What is the modified duration and convexity of the portfolio? (2pts) If the yields to maturity for all maturities decrease by 25 basis points, what is the new value of the portfolio using duration and convexity? (1pt)...