WTF? Is it me or did they not give us the key rate durations? How do we come up with a specific portfolio duration, without the KEY RATES?? The second one I think I got right just on the basis that one portfolio was heavily weighted towards the longer maturity, and would have larger duration - more price movement with parallel shift.
it was given – the weights x the maturity (they were zero coupon bonds)
McLeod81 Wrote: ------------------------------------------------------- > WTF? Is it me or did they not give us the key > rate durations? How do we come up with a specific > portfolio duration, without the KEY RATES?? > > The second one I think I got right just on the > basis that one portfolio was heavily weighted > towards the longer maturity, and would have larger > duration - more price movement with parallel > shift. they were 0 cupon so duration=maturity I forgot how to calculate though i got 1.5 difference and port that had 0.25,0.25,0.5 was the one
McLeod81 Wrote: ------------------------------------------------------- > WTF? Is it me or did they not give us the key > rate durations? How do we come up with a specific > portfolio duration, without the KEY RATES?? > > The second one I think I got right just on the > basis that one portfolio was heavily weighted > towards the longer maturity, and would have larger > duration - more price movement with parallel > shift. Agree with you second comment. Yeah, no key rates… Maybe we were supposed to calculate it based on the MV of the bonds, but I had no idea how to do that. Garbage.
1.5 diff, port II changed the most
I used the same logic there mcleod, should be right - calculation or otherwise. Was the difference 1.5%?
florinpop yes and yes- got 1.5 and the 25,25,50 one as most sensitive.
DAMN it. Missed the fact that they were zeros… Do you remember the answer for that one?
yeah-- .0295 - .0145 = .015
which portfolio was more prone to the parallel shift? That would be the one with 50% longest maturity, 25% second longest maturity. Right?
McLeod81 Wrote: ------------------------------------------------------- > which portfolio was more prone to the parallel > shift? That would be the one with 50% longest > maturity, 25% second longest maturity. Right? right
the excess return between port II and III, I got 1.5%
Grrrr… Another simple concept that I f*cked up… I spent too much time learning the hard sh*t, like Time Series.
I REALLY wish I hadn’t spent so much time on Time Series… I can’t believe they moved it down from Level III, just to NOT test it.
over05 Wrote: ------------------------------------------------------- > the excess return between port II and III, I got > 1.5% sweet. guessed right