What is the dollar duration of the following portfolio:
i. Long a 1-year ?xed coupon bond paying 4% quarterly.
ii. Long a 1.75-year ?oating rate bond paying ?oat plus 80 bps semian- nually. You know that the reference rate was set at 6% six months ago.
iii. Short a 2-year zero coupon bond. 10

Question

What is the dollar duration of the following portfolio: 
i. Long a 1-year ?xed coupon bond paying 4% quarterly.
 ii. Long a 1.75-year ?oating rate bond paying ?oat plus 80 bps semian- nually. You know that the reference rate was set at 6% six months ago. 
iii. Short a 2-year zero coupon bond. 10

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The Answer of What is the dollar duration of the following portfolio: 
i. Long a 1-year ?xed coupon bond paying 4% quarterly.
 ii. Long a 1.75-year ?oating rate bond paying ?oat plus 80 bps semian- nually. You know that the reference rate was set at 6% six months ago. 
iii. Short a 2-year zero coupon bond. 10

What Is the Dollar Duration of the Following Portfolio