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A corporate bond has a modified duration D * = 8 years. One month after buying the bond, the yield to maturity rises + 200bps.
A corporate bond has a modified duration D* = 8 years. One month after buying the bond, the yield to maturity rises + 200bps. Please mark the only CORRECT anwer
| a. | The price of the bond will fall 1.60% | |
| b. | The price of the bond will fall, but we have to adjust the formula for convexity because the change in YTM is large | |
| c. | The price of the Bond will rise 16.0% | |
| d. | The price of the Bond will fall 16.0% |
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Principles Of Housing Finance Reform
Authors: Susan M. Wachter, Joseph Tracy
1st Edition
0812248627, 978-0812248623
