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An Italian bank holds a large position in a 7 . 2 5 % annual coupon payment corporate bond that matures on 4 April 2
An Italian bank holds a large position in a annual coupon payment corporate bond that matures on April The bond's yieldtomaturity is for settlement on June stated as an effective annual rate. The settlement date is days into the day year using the day counting method.
NOTE: Use decimal places in your calculator when you calculate!
Calculate the full price of the bond per of par value.
Calculate the approximate modified duration and approximate convexity using a increase and decrease in the YTM
Calculate the estimated percentage price change using only the modified duration and using a increase in the YTM
Calculate the estimated convexityadjusted percentage price change resulting from a increase in the YTM
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