Question
A fixed income investment has a Macauley duration( D ) of 9.36 years with a convexity of 31.355. By what percentage will the value of
A fixed income investment has a Macauley duration(D) of 9.36 years with a convexity of 31.355.
By what percentage will the value of this investment change if rates rise from j2 = 5% to j2 = 5.75%?
- A.
6.93%
- B.
6.85%
- C.
6.76%
- D.
7.02%
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Fundamentals Of Futures And Options Markets
Authors: John C. Hull
8th Global Edition
1292155035, 9781292155036
