[Solved] Assignment 219516

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Subject: Business    / Finance
QuestionThe following OATs are available as hedging instruments:
OAT    Coupon rate    Maturity    clean price
15    3.75%    25/10/2019    114.77
16    3.25%    25/10/2021    118.11
17    5.5%    25/04/20209153.11These prices were obtained as of March 15, 2016. As a fixed income manager, you hold a portfolio that is long the following 10 bonds:
OAT    COUPON RATE %    MATURITY    CLEAN PRICE    YTM
1    4,25    25-oct-17    107,53    -0,39500%
2    4    25-avr-18    109,24    -0,3510%
3    4,25    25-avr-19    114,2    -0,2860%
4    3,5    25-avr-20    115,29    -0,1990%
5    3,25    25-oct-21    118,48    -0,0390%
6    8,25    25-avr-22    150,36    0,0080%
7    4,25    25-oct-23    130,56    0,2000%
8    3,5    25-avr-26    128,3    0,6060%
9    5,75    25-Apr-32    169,8    1,1210%
10    4,75    25-Apr-35    158,571,2770%Use the YTM and any of the hedging instruments above to form a portfolio that is insensitive to a small parallel shift in the yield curve. Calculate the P/L of the unhedged and hedge portfolios if dy = 0.1% and dy = 2%

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