Question
A bond has a 25-year maturity, 10% coupon, 10% yields, $1000 face value, a duration of 10 years and a convexity if 135.5. Calculate the
A bond has a 25-year maturity, 10% coupon, 10% yields, $1000 face value, a duration of 10 years and a convexity if 135.5. Calculate the new value of the bond (in $), based on modified duration and convexity, if interest rates were to fall by 125 basis points.
Please show the working/formulas if done in excel.
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Behavioral Finance And Asset Prices
Authors: David Bourghelle, Pascal Grandin, Fredj Jawadi, Philippe Rozin
1st Edition
3031244850, 978-3031244858
