Suppose NCKU company currently has NTD 10 million of five-year bonds with   a coupon rate of 2%, a yield-to-maturity of 3.25% and a remaining life of two years and NTD 20 million of ten-year bonds with a coupon rate of 3.5%, a yield-to-maturity of 4.5% and a remaining life of three years. These two bonds pay coupons semi-annually. Assuming the settlement date is January 1, 2022. What is the portfolio modified duration of these two bonds using the Aggregate Cash Flow approach? years (Please round the answer to the nearest two decimal places)

EBK CONTEMPORARY FINANCIAL MANAGEMENT
14th Edition
ISBN:9781337514835
Author:MOYER
Publisher:MOYER
Chapter8: Analysis Of Risk And Return
Section: Chapter Questions
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D4) Suppose NCKU company currently has NTD 10 million of five-year bonds with   a coupon rate of 2%, a yield-to-maturity of 3.25% and a remaining life of two years and NTD 20 million of ten-year bonds with a coupon rate of 3.5%, a yield-to-maturity of 4.5% and a remaining life of three years. These two bonds pay coupons semi-annually. Assuming the settlement date is January 1, 2022. What is the portfolio modified duration of these two bonds using the Aggregate Cash Flow approach? years (Please round the answer to the nearest two decimal places)
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