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What would be the market value of the portfolio

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Reference no: EM132818022

A bond portfolio has effective duration 5 and convexity -23. The current market value of the portfolio is $100 Billion. Use Taylor approximation and Duration and Convexity to find what would be the market value of the portfolio if the spot yield curve experiences a parallel shift down by 10 basis points.

One basis point is 0.01%

Round your answer to millions, e.g. $9.98766 Billions should be entered as "9988",

Reference no: EM132818022

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