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    api-19708754
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    This document contains details of a bond portfolio including coupon rates, maturity dates, settlement date, individual bond values, number of bonds, yields, and modified durations. It then calculates the portfolio's total value, weighted average modified duration, and estimates that a 15 basis point change in yields would change the portfolio value by approximately 1.1% or 6.8 million rupees.

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    This document contains details of a bond portfolio including coupon rates, maturity dates, settlement date, individual bond values, number of bonds, yields, and modified durations. It then calculates the portfolio's total value, weighted average modified duration, and estimates that a 15 basis point change in yields would change the portfolio value by approximately 1.1% or 6.8 million rupees.

    Copyright:

    Attribution Non-Commercial (BY-NC)
    Download as XLS, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    7 views3 pages

    Repo q3

    Uploaded by

    api-19708754
    This document contains details of a bond portfolio including coupon rates, maturity dates, settlement date, individual bond values, number of bonds, yields, and modified durations. It then calculates the portfolio's total value, weighted average modified duration, and estimates that a 15 basis point change in yields would change the portfolio value by approximately 1.1% or 6.8 million rupees.

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    Attribution Non-Commercial (BY-NC)
    Download as XLS, PDF, TXT or read online from Scribd
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    of 3

    Coupon(%age) Maturity

    11.83 12-Nov-14
    10.47 12-Feb-15
    11.43 7-Apr-15
    10.71 18-Apr-16
    10.45 27-Apr-18
    Settlement Date
    8-Jun-01
    8-Jun-01
    8-Jun-01
    8-Jun-01
    8-Jun-01

    Sumproduct(Value of Bond, Mduration)

    Sum(Value of Bond)

    Portfolio Modified Duration = Sumproduct(Value of Bond, Mduration)/Sum(Value of Bond)

    A 15 basis point change in yield will change the portfolio value by (in %age)

    In rupee terms that would be


    Price No. Of Bonds Value of Bond YTM Modified Duration
    113.65 116600 13251590 0.099621 7.02228926092237
    105.35 114100 12020435 0.097497 7.13706159519273
    111.45 113600 12660720 0.098892 7.12126562797107
    106.75 112400 11998700 0.098332 7.49814230513485
    104.78 111100 11641058 0.098604 7.96913881748619

    451744600.6

    61572503

    7.336791239

    1.100518686

    677616.9008

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