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10. Assume you have a portfolio comprising 5 zero-coupon bonds that have 2 years to maturity...

10.

Assume you have a portfolio comprising 5 zero-coupon bonds that have 2 years to maturity and 6 zero-coupon bond with a maturity of 20 years. Assuming semi-annual compounding and that all bonds have a face value of 100 and that the yield curve is flat at 5% pa, what is the modified duration of this portfolio?

Group of answer choices

None of the answers provided are correct

7.752

13.711

10.732

7.609

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Answer #1

For Coupon Paying Bonds, Zero-Coupon Bond duration is always equal to its maturity years.

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