Embarrassingly asking for math help

[RiverFenix]

A guy I work with asked me spur of the moment to crunch some #s for him (he works in fixed income).
-He wants to take a benchmark and increase one type of bond until the duration of his portfolio is equal to that of 60% of the benchmark.
-The security he is purchasing is a 5% Tbill that is redeemable on 8/15/11. -The current duration is 5.1 in our system (for the amount of those we have. I dont think he cares that the duration is being changed by purchases hes asking about)
-The only other info he gave me is the current duration of the portfolio is 2.37.
-I found out that our exixting tbills have cost us 2.268m and that the total cost of the portfolio is 14.792m

There has to be a pen and paper way to do this correctly and quickly. Everything ive done has been convoluted. I think we need to add about 1.6m more, but I want to be sure I was close before moving on to the other accounts

[dtbog]

[ QUOTE ]
A guy I work with asked me spur of the moment to crunch some #s for him (he works in fixed income).

[/ QUOTE ]

So isn't this [censored] actually his job?

If he A) doesn't know how to do it himself and B) doesn't have software to do so, then I don't think he's doing his job right.

[RiverFenix]

He says he does it pen & paper all the time. I know their must be software for it too but i dont know where. He just asked me to crunch it since he was running out for the day and wanted it when he got back.

[Eurotrash]

hopefully after the math help you won't be too embrassed to ask for some spelling help as well. /images/graemlins/blush.gif


<font color="white"> (come on, everybody was thinking this as they read the thread title. i just got the bad joke out of the way.) </font>

[RiverFenix]

[ QUOTE ]
hopefully after the math help you won't be too embrassed to ask for some spelling help as well. /images/graemlins/blush.gif


<font color="white"> (come on, everybody was thinking this as they read the thread title. i just got the bad joke out of the way.) </font>

[/ QUOTE ]


Minor details!

[ihardlyknowher]

[ QUOTE ]
A guy I work with asked me spur of the moment to crunch some #s for him (he works in fixed income).
-He wants to take a benchmark and increase one type of bond until the duration of his portfolio is equal to that of 60% of the benchmark.
-The security he is purchasing is a 5% Tbill that is redeemable on 8/15/11. -The current duration is 5.1 in our system (for the amount of those we have. I dont think he cares that the duration is being changed by purchases hes asking about)
-The only other info he gave me is the current duration of the portfolio is 2.37.
-I found out that our exixting tbills have cost us 2.268m and that the total cost of the portfolio is 14.792m

There has to be a pen and paper way to do this correctly and quickly. Everything ive done has been convoluted. I think we need to add about 1.6m more, but I want to be sure I was close before moving on to the other accounts

[/ QUOTE ]

I quickly killed all the brain cells I used to study this stuff for the CFA exam, but I think the key here is to use dollar duration. I don't think there is enough info in this post to solve the problem.

[MrTrik]

I'm very concerned the guys that handle my money might be posting on OOT to figure out important stuff like that. Wow. What would posess you to ask this question on a free-for-all poker forum? Wow.

[RiverFenix]

[ QUOTE ]
I'm very concerned the guys that handle my money might be posting on OOT to figure out important stuff like that. Wow. What would posess you to ask this question on a free-for-all poker forum? Wow.

[/ QUOTE ]

Its an internship. I do research and computer database related tasks. Since im an intern this person thought I could do this for him quickly while he is out for the day - its not what im there to do, but I dont want to look like i dont have a clue.

bump