Question
A pension fund manager is holding a 6-year bond with a 5% coupon, suppose the yield increases from 10% to 11%. If this bond's duration
A pension fund manager is holding a 6-year bond with a 5% coupon, suppose the yield increases from 10% to 11%. If this bond's duration is 4.48, what is the approximate percentage change in price?
4.48%
8.96%
-8.96%
-4.48%
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Modern Financial Markets Prices, Yields, And Risk Analysis
Authors: Mark Griffiths, Drew Winters, David W Blackwell
1st Edition
0470000104, 9780470000106
