LOS 38.c
Question I made up, see if you guys like it…
A portfolio manager has $10 million market value of fixed rate bonds with duration of 5.0. His has fixed rate liabilites of $5 million with duration of 7.0.

What is the equity value of his portfolio

What is the duration of the equity, and is it positive or negative

If rates increased by 1%, what would the value of the equity be

If rates decreased by 1%, what would the value of the equity be

If the manager added a pay floating / recieve fixed rate swap to reduce market value risk of his liabilites, and the swap had a net duration of 1.5 on notional principal of $1 million, what is the new duration of the equity?