Question
Assume a three year corporate bond with a $1,000 par value that is paying a 10% semiannual coupon and the YTM is 7%. 1. What
Assume a three year corporate bond with a $1,000 par value that is paying a 10% semiannual coupon and the YTM is 7%.
1. What is the duration of this bond?
2. What is the Modified Duration? Dollar Duration?
3. What is the estimated $ price change using duration if interest rates rise 2%? Decline 1%?
4. What is the Convexity (CX) factor?
5. What is the estimated $ price change using convexity if interest rates rise 2%? Decline 1%
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Handbook Of Asset And Liability Management Volume 2
Authors: S. A. Zenios, W. T. Ziemba
1st Edition
0444528024, 978-0444528025
