Revision as of 15:01, 20 November 2023 by Admin (Created page with "'''Solution: D''' (15(961.54)(1) +20(966.14)(2)+ 30(878.41)(3))/(15(961.54) +20(966.14) + 30(878.41)) = 2.198495. {{soacopyright | 2023 }}")
Exercise
Nov 20'23
The table below defines available zero-coupon bonds and their prices:
Years to Maturity | Bond Price Per Bond | Redemption Value Per Bond |
---|---|---|
1 | 961.54 | 1,000 |
2 | 966.14 | 1,050 |
3 | 878.41 | 1,000 |
A company chooses to purchase 15 one-year zero-coupon bonds; 20 two-year zero- coupon bonds; and 30 three-year zero-coupon bonds.
Calculate the Macaulay duration of this portfolio