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2. Q2. You manage 100M AUM and are considering the following overnight cash and 2 zero coupon bonds below: Maturity Yield Overnight cash 3.10%
2. Q2. You manage 100M AUM and are considering the following overnight cash and 2 zero coupon bonds below: Maturity Yield Overnight cash 3.10% 5 7.20% 10 8.90% Calculate duration and convexity, dollar duration and dollar convexity for the 5 year and 10 year notes
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Answer To calculate the duration and convexity for the 5year and 10year zero coupon bonds we need to understand the formulas and definitions of these measures Here are the formulas well use 1 Duration ...
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Financial Management For Decision Makers
Authors: Peter Atrill, Paul Hurley
2nd Canadian Edition
138011605, 978-0138011604
