question archive The following OATs are available as hedging instruments:OATCoupon rateMaturityclean price153
The following OATs are available as hedging instruments:OATCoupon rateMaturityclean price153
Subject:Electrical EngineeringPrice: Bought3
The following OATs are available as hedging instruments:OATCoupon rateMaturityclean price153.75%25/10/2019114.77163.25%25/10/2021118.11175.5%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:OATCOUPON RATE %MATURITYCLEAN PRICEYTM14,2525-oct-17107,53-0,39500%2425-avr-18109,24-0,3510%34,2525-avr-19114,2-0,2860%43,525-avr-20115,29-0,1990%53,2525-oct-21118,48-0,0390%68,2525-avr-22150,360,0080%74,2525-oct-23130,560,2000%83,525-avr-26128,30,6060%95,7525-Apr-32169,81,1210%104,7525-Apr-35158,571,2770%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%
