Question
a 7% treasury bond with 12 year remaining maturity currently seels to yield 8%(BEY). Calculate the duration and convexity and use them to approximate the
a 7% treasury bond with 12 year remaining maturity currently seels to yield 8%(BEY). Calculate the duration and convexity and use them to approximate the percentage price change of the bond for 1% immediate increase in yield.
Answer:
Approximating duration =7.83 years
Approximating convexity=81.25
Explain how those two answers were derived.
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Financial and Management Accounting
Authors: Pauline Weetman
7th edition
1292086599, 978-1292086590
