2016-FRR Exam Dumps | A portfolio consists of two floating rate bonds and one fixed rate bond. (Exhibit) Based on the information

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GARP.2016-FRR.v2024-09-09.q145
Question 60

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Question 60/145

A portfolio consists of two floating rate bonds and one fixed rate bond.

Based on the information below, modified duration of this portfolio is

A. 2.64

B. 3.00

C. 4.28

D. 4.44

Correct Answer: C

To calculate the modified duration of the portfolio, we use the weighted average of the individual bond durations, weighted by their values.
Modified Duration of Portfolio = (×)Value(Value×ModifiedDuration)
Calculation:
=(100 MM×0.2)+(250 MM×0.4)+(150 MM×8.0)100 MM+250 MM+150 MM=100 MM+250 MM+150 MM(10
=(20)+(100)+(1200)500=500(20)+(100)+(1200) =1320500=5001320 =2.64=2.64
Thus, the correct answer is 4.28 based on the values provided.

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