Question
A bond has 3 years to maturity, 8% coupon paid annually and par value of $100. The continuously compounded interest rate is 6%. Suppose the
A bond has 3 years to maturity, 8% coupon paid annually and par value of $100. The continuously compounded interest rate is 6%. Suppose the interest rate goes down to 5%. What would be the percentage change in the bond price implied by the duration plus convexity approximation?
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Investments Analysis and Management
Authors: Charles P. Jones
12th edition
978-1118475904, 1118475909, 1118363299, 978-1118363294
