Question
A 4 year maturity bond making annual coupon payments with a coupon of 8% has a duration of 3.607 years and a convexity of 16.08.
A 4 year maturity bond making annual coupon payments with a coupon of 8% has a duration of 3.607 years and a convexity of 16.08. The bond currently sells at a yield of 4%. IF the YTM immediately increases to 6%, what is the price predicted by the duration plus convexity rules?
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Principles of Managerial Finance
Authors: Chad J. Zutter, Scott B. Smart
15th edition
013447631X, 134476315, 9780134478197 , 978-0134476315
