Compute the PVBP of a portfolio of $10 million par of each of the above two bonds. Compute the Duration of a portfolio of $10 million par of each of the above two bonds.
1. You are provided with the following Treasury Bond quotes: Settlement date Issue date Maturity Annual Coupon rate Bid Asked 10/26/2021 11/15/2020 11/15/2044 3% 116.28 116.30 10/26/2021 5/15/2020 5/15/2046 2.5% 107.28 107.30 Compute the Modified duration of a portfolio of $10 million par of each of the above two bonds. Compute the PVBP of a […]