9. An investor purchases 5 zero-coupon bonds, with years. Each bond has a maturity value of 1,000, and is priced based on the following yield curve: Term (yrs.) Spot rate 1 2.4% 2 3.0% 3 3.4% 4 3.7% 5 3.9% What is the modified duration of the investor's portfolio?

9. An investor purchases 5 zero-coupon bonds, with years. Each bond has a maturity value of 1,000, and is priced based on the following yield curve: Term (yrs.) Spot rate 1 2.4% 2 3.0% 3 3.4% 4 3.7% 5 3.9% What is the modified duration of the investor's portfolio?

Essentials Of Investments

11th Edition

ISBN:9781260013924

Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.

Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.

Chapter1: Investments: Background And Issues

Section: Chapter Questions

Problem 1PS

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Question

D4)

9. An investor purchases 5 zero-coupon bonds, with terms of 1, 2, 3, 4, and 5
years. Each bond has a maturity value of 1,000, and is priced based on
the following yield curve:
Term (yrs.) Spot rate
2.4%
1
3.0%
3.4%
4
3.7%
5
3.9%
What is the modified duration of the investor's portfolio?
2
3

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