Duration

s.roy
Good Student
Posts: 19
Joined: Wed Jul 26, 2017 7:32 am

Duration

Postby s.roy » Wed Sep 27, 2017 9:57 am

In the attached file Question No. 1, I have the following doubts

FRM.pdf
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In the problem where it is given duration 7.802.

To estimate market value of the portfolio why we deduct new change in value of the bond from the original value of the portfolio

I think if we multiply the original portfolio value with duration of bond and change in interest rate, we get the new portfolio value.

Please explain in details.

s.roy
Good Student
Posts: 19
Joined: Wed Jul 26, 2017 7:32 am

Re: Duration

Postby s.roy » Tue Oct 10, 2017 11:50 am

please reply my doubt how duration number arrived. The same is not given in the question

edupristine
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Joined: Wed Apr 09, 2014 6:28 am

Re: Duration

Postby edupristine » Thu Oct 12, 2017 6:13 am

hi,

Please find the attached file herewith this text. Hope this would solve your doubt.
In case you have any further query please feel free to communicate.
Attachments
Book2.xlsx
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s.roy
Good Student
Posts: 19
Joined: Wed Jul 26, 2017 7:32 am

Re: Duration

Postby s.roy » Tue Oct 17, 2017 10:15 am

Thanks

edupristine
Finance Junkie
Posts: 822
Joined: Wed Apr 09, 2014 6:28 am

Re: Duration

Postby edupristine » Wed Oct 18, 2017 6:12 am

Happy Studying!!


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