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A trading portfolio consists of two bonds, A and B. Both have modified duration of...

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Finance

A trading portfolio consists of two bonds, A and B. Both have modified duration of 3 years and face value of $1000, but A is a zero-coupon bond, and its current price is $900, and bond B pays annual coupons and is priced at par. What do you expect will happen to the market prices of A and B if the risk-free yield curve moves up by 1 basis point? Specifically, what are the price change of bond A and bond B?

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