Question
An asset that is selling for $5,105 has a modified duration ( MD ) of 12.8 years and its convexity measure is 85.000 at j
An asset that is selling for $5,105 has a modified duration (MD) of 12.8 years and its convexity measure is 85.000 at j2 = 7%.
What is the estimated new market value(price) of this asset if interest rates rise from j2 = 7% to j2 = 7.75%?
- A.
$5,607.28
- B.
$4,614.92
- C.
$4,894.53
- D.
$4,627.12
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An Introduction To Wavelet Theory In Finance
Authors: Francis In, Sangbae Kim
1st Edition
9814397830, 978-9814397834
