Question number 9, page 51, volume 4 curiculum

840, its, understand, product, number

Can any explain for me why to get par value of the 10-year bond, we take dellar duration of the 5-year ($454,840) divide by the product of the duration of the 10-year and its quoted price and 0.01 to get the par value of the 10-year.
I don’t not really understand the logic behid doing this.
Thanks,

相关主题：

. Mock Q on Econ w/ Twisted answer

. Q # 52 CFA mock exam- morning session

. Contin immun basic question

. Schweser question : WACC

Sunshine4ever

CFA Candidates

Rank: 2

UID: 223386
帖子: 313
主题: 69
注册时间: 2011-7-11
最后登录: 2016-4-19

2^#

发表于 2013-5-7 00:22 | 只看该作者

dollar duration = duration * market value* 0.01
portfolio dollar duration is the sum of dollar duration of all the bonds in it.
If you sell the 5 year bonds and invest in 10 years yet maintain the dollar duration of the portfolio, then :
dollar duration of the 10 year bonds purchased = dollar duration of the 5 year bonds sold.
The market value of 5 year bonds in the portfolio = price * par value = 10,040,625
So the dollar duration of 5 year bonds = duration * market value * 0.01 = 4.53 * 100,406.25=454,840
Now to get par value for 10 year bonds to be purchased , reverse the calculation with new price and duration for 10 year bonds
duration * market Value * 0.01 = 454,840 = 8.22 * Par Value * 1.0909375 * 0.01
Par value = notional/duration/Price/0.01
so Par value = 453,840 / 8.22 / 1.0909375 / 0.01 = 5,072,090

TOP

返回列表

上一主题：Alternative Asset Research

下一主题：Schweser Technical Question

Question number 9, page 51, volume 4 curiculum

相关主题：

[收藏此主题] [关注此主题的新回复]

[通过 QQ、MSN 分享给朋友]