Question
A bond portfolio named VEX comprises four bonds (face value=$1000): 1) 100 semi-annual bond, 5-year maturity, a coupon rate of 4% 2) 200 annual bonds,
A bond portfolio named VEX comprises four bonds (face value=$1000):
1) 100 semi-annual bond, 5-year maturity, a coupon rate of 4%
2) 200 annual bonds, 30-year maturity, 8% coupon bond.
3) 300 zero-coupon bonds, 10-year maturity.
4) 400 zero-coupon bonds, 20-year maturity.
What is the difference in price drop between a formula with and without convexity?
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International Finance Transactions Policy And Regulation
Authors: Hal S. Scott
15th Edition
159941547X, 978-1599415475
