Question
Assume a bond with a coupon of 5.0% paid annually, with 10 years to maturity, and a YTM of 6.20%. a) Calculate the duration and
Assume a bond with a coupon of 5.0% paid annually, with 10 years to maturity, and a YTM of 6.20%.
a) Calculate the duration and modified duration.
b) For the bond described in a) above, calculate the convexity.
c) Calculate the price change for a 40 basis point drop in yield using duration plus convexity.
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Financial Management Theory And Practice
Authors: Prasanna Chandra
11th Edition
9355322208, 978-9355322203
