题目
A bond portfolio consists of the following three fixed-rate bonds. Assume annual coupon payments and no accrued interest on the bonds. Prices are per 100 of par value.「huixue_img/importSubject/1564548168098648064.jpeg」The bond portfolio’s modified duration is closest to:
选项
A.7.62.
B.8.08.
C.8.20.
答案
A
解析
： A is correct. The portfolio’s modified duration is closest to 7.62.Portfolio duration is commonly estimated as the market-value-weighted average of the yield durations of the individual bonds that compose the portfolio. The total market value of the bond portfolio is 170,000 + 120,000 + 100,000 = 390,000. The portfolio duration is 5.42 × (170,000/390,000) + 8.44 × (120,000/390,000) + 10.38 × (100,000/390,000) = 7.62. ： 这道题目问的是债券组合由以下三种固定利率债券组成，债券组合的修正久期最接近： A是正确的。投资组合的修正久期最接近7.62。投资组合久期通常被估计为构成投资组合的单个债券的久期的市值加权平均值。 债券组合总市值为170000 ＋120000＋ 100000=390000。 投资组合久期为5.42×（170000/390000）＋ 8.44×（120000/390000）＋ 10.38×（100000/390000）=7.62。