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"Fixed Income":Term of validity of bonds
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Questions 1:
A bond is selling for 98.2. It is estimated that the price will fall to 96.6 if yields rise 30 bps and that the price will rise to 100.1 if yields fall 30 bps. Based on these estimates, the effective duration of the bond is closest to:
A 、1.78.
B 、5.94.
C、 11.88.
Questions 2:
A portfolio consists of four bonds with the following characteristics:
The duration of the portfolio is closest to:
A 、7.48.
B、 5.40.
C 、6.18.
View answer resolution
【Answer to question 1】B
【analysis】
B is correct. The effective duration of a bond is
C is incorrect because it does not include the 2 in the denominator, as follows:
【Answer to question 2】A
【analysis】
B is incorrect because it is the median of the bonds’ durations.
C is incorrect because it is the arithmetic mean (average) of the bonds’ durations.
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