In schweser practice vol1. exam 3am, 9.D, the question asks for the size of the spread-widening that will make total returns equal over the 6 month period….
bond Y has yield 7.05% w duaration 6, bond X has yield 4.55% w duration 7.
schweser choose bond X to calculate the spd as follows
(7.05% - 4.55%)/2 / 7
I understand that it usually picks the bond with largest duration. but the question asks for spread-widnening scneario, it seems we should use the bond with highest yield? Am I wrong?