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An analyst is calculating effective convexity for a 3-year, 9% semiannual coupon bond trading at $101.29. If interest rates immediately rise by 30 basis points,
An analyst is calculating effective convexity for a 3-year, 9% semiannual coupon bond trading at $101.29. If interest rates immediately rise by 30 basis points, the bond will sell for $99.73. If interest rates immediately fall by 30 basis points, the bond will sell for $103.85. The analyst will calculate the bonds effective convexity closest to _____
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