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Joined: Wed Jul 26, 2017 7:32 am


Postby s.roy » Wed Sep 27, 2017 9:48 am

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

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.
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