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A bond has a modified duration of 6.5 years and trades at 103. There is a call option on the bond with a strike price
A bond has a modified duration of 6.5 years and trades at 103. There is a call option on the bond with a strike price of 104. What change in interest rates is required to make the call option just at the money? (Show your work for full credit and round each answer 4 decimal places)
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