Reading 20 page 54 question 9. Could someone please explain the formula and method
sell 5 year bonds -> Dollar duration of portion sold = 10 (par) * 100.04625 / 100 (price) * 4.53 = 45.48403125
Now buy 10 year bonds
Price = 1.0909375, Duration = 8.22
so buy 45.48403125 / (1.0909375 * 8.22 ) = 5.0720936 Mill $ in Par value