FI - Question

[shahravi123]

a bond portfolio manager owns $5 par value of noncallable bond issue. tHe duration of the bond is 5.6 and cureent market value of bond is 5125000. If the yield INCREASE by 25 bps the approxiate new prcie of bond after increase in yield is closet too?

 

[dubj]

$5.05325?

 

[shahravi123]

how did u calculate...dont have the answers....similar to question from sample exam. Juust instead of decrease by 25 bps....in this question it is increase by 25 bps..

 

[shahravi123]

Anyone can showme the calculation??

 

[dubj]

MV * (-dur*.0025) -> to get the change in value, take it away from the market value at t0, gives $5,053,250

 

[daj224]

dollar duration problem, see post above, that looks right