Question
A 5-year bond with a coupon of 6.7% coupons semiannually. It is currentlyyielding 6.4%. Its current price is 101.25. If the bond's yield increases by
A 5-year bond with a coupon of 6.7% coupons semiannually. It is currentlyyielding 6.4%. Its current price is 101.25. If the bond's yield increases by 15 basepoints, then its price falls to 100.6225. If the bond's yield falls by 15 base points,then its price rises to 101.8827. Calculate the bond's effective convexity.
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International Finance Theory and Policy
Authors: Paul R. Krugman, Maurice Obstfeld, Marc J. Melitz
10th edition
978-0133425895, 133425894, 978-0133423631, 133423638, 978-0133423648
