Portfolio Management by unknow

Author:unknow
Language: eng
Format: epub
ISBN: 9781119397434
Publisher: John Wiley & Sons, Inc. (trade)
Published: 2019-03-26T00:00:00+00:00

The completed table should appear as follows:

The shaded cells are the price of the bond/portfolio for the given term structure. Paste-special-value these cells to cells B25:E25. These provide the base price for examining the return to each strategy for given changes to the term structure. The approach will be to shift the yield curve by changing cells B4:B6 in the <Term Structure> worksheet developed earlier, recording the new prices in cells B26:E31, and calculating the return in cells F26:I31. To make the process easier, the strategy values to be copied also appear below the table in the range B33:E33.

The template should appear as follows:

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