Question
1. Using a delta of 0.1%, calculate the effective duration and convexity of an annuity making level payments of $500 annually for two years. The
1. Using a delta of 0.1%, calculate the effective duration and convexity of an annuity making level payments of $500 annually for two years. The annual effective rate of interest is 5%.
2. A portfolio has a duration of 4.00 and a convexity of 20. Approximate the percent change in the portfolio's value if interest rates increase 1%.
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The Ultra High Net Worth Bankers Handbook
Authors: Heinrich Weber, Stephan Meier
1st Edition
1905641753, 978-1905641758
