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Bond Math: Based on the information provided, what would the estimated percentage price change of the bond be for a rate shock of -100BP and
Bond Math:Based on the information provided, what would the estimated percentage price change of the bond be for a rate shock of -100BP and +200BP rate change?
Duration = 3.68
Convexity = -2.45
Current Book Value of Bond = $5 million
Current (Base Case) Market Value of Bond = $6 million
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-100BP = 0.62%, +200BP = -8.00%
-100BP = 1.23%, +200BP = -9.81%
-100BP = -0.42%, +200BP = +7.78%
-100BP = -1.23%, +200BP = +9.81%
-100BP = 0.52%, +200BP = -7.00%
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