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A five-year, 6.5% bond with a YTM of 5.0% has a duration of 4.45 and convexity of 25.59. The bonds current price quote is 106.494.
- A five-year, 6.5% bond with a YTM of 5.0% has a duration of 4.45 and convexity of 25.59. The bonds current price quote is 106.494. Assume the bond pays annual coupons and has a par value of $1.000.
- Compute the percentage change in the bonds price if its YTM increases 75 basis points.
- Estimate the percentage change in the bonds price using modified duration and the convexity correction (the duration & convexity rule) if the bonds YTM increases 75 basis points.
- Compute the percentage change in the bonds price if its YTM decreases 90 basis points.
- Estimate the percentage change in the bonds price using modified duration and the convexity correction (the duration & convexity rule) if the bonds YTM decreases 90 basis points.
- Compute the percentage change in the bonds price if its YTM increases 75 basis points.
- Estimate the percentage change in the bonds price using modified duration and the convexity correction (the duration & convexity rule) if the bonds YTM increases 75 basis points.
- Compute the percentage change in the bonds price if its YTM decreases 90 basis points.
- Estimate the percentage change in the bonds price using modified duration and the convexity correction (the duration & convexity rule) if the bonds YTM decreases 90 basis points.
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Financial Modeling An Introductory Guide To Excel And VBA Applications In Finance
Authors: Joachim Häcker, Dietmar Ernst
1st Edition
1137426578, 978-1137426574
