Question
A six-year bond with a continuosly compounded yield of 4% provides a 5% coupon at the end of each year. Use duration and convexity to
A six-year bond with a continuosly compounded yield of 4% provides a 5% coupon at the end of each year. Use duration and convexity to estimate the effect of a 1% increase in the yield on the price of the bond. How accurate is the estimate?
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International Finance
Authors: Keith Pilbeam
3rd Edition
1403948372, 978-1403948373
