1.

Today is 1 July 2020. Sieglinde has a portfolio which consists of two different types of financial instruments (henceforth referred to as instrument A and instrument B). Sieglinde purchased all instruments on 1 July 2014 to create this portfolio and this portfolio is composed of 28 units of instrument A and 34 units of instrument B. Instrument A is a zero-coupon bond with a face value of 100. This bond matures at par. The maturity date is 1 January 2030. Instrument B is a Treasury bond with a coupon rate of j2 = 3.5% p.a. and face value of 100. This bond matures at par. The maturity date is 1 January 2023. Calculate the current price of instrument A per $100 face value. Round your answer to four decimal places. Assume the yield rate is j2 = 4.47% p.a.

a. 50.3979

b. 49.2961

c. 43.5672

d. 65.7064

2.

Today is 1 July 2020. Susan has a portfolio which consists of two different types of financial instruments (henceforth referred to as instrument A and instrument B). Susan purchased all instruments on 1 July 2015 to create this portfolio and this portfolio is composed of 21 units of instrument A and 23 units of instrument B. Instrument A is a zero-coupon bond with a face value of 100. This bond matures at par. The maturity date is 1 January 2030. Instrument B is a Treasury bond with a coupon rate of j2 = 3.53% p.a. and face value of 100. This bond matures at par. The maturity date is 1 January 2023. Calculate the current price of instrument B per $100 face value. Round your answer to four decimal places. Assume the yield rate is j2 = 3.72% p.a. and Susan has just received her coupon payment.

a.

101.3154

b.

99.5504

c.

99.4653

d.

98.7664

3.

Today is 1 July 2020. Siobhn has a portfolio which consists of two different types of financial instruments (henceforth referred to as instrument A and instrument B). Siobhn purchased all instruments on 1 July 2014 to create this portfolio and this portfolio is composed of 25 units of instrument A and 40 units of instrument B.

• Instrument A is a zero-coupon bond with a face value of 100. This bond matures at par. The maturity date is 1 January 2030.
• Instrument B is a Treasury bond with a coupon rate of j₂ = 4.23% p.a. and face value of 100. This bond matures at par. The maturity date is 1 January 2023.

Calculate the current duration of Siobhns portfolio. Express your answer in terms of years and round your answer to two decimal places.

a. 4.51

b. 4.55

c. 6.58

d. 6.01