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Consider a 10-year zero coupon bond with an annual yield of 6% (assume semi-annual compounding). Assume the modified duration is 9.71 and the convexity of
Consider a 10-year zero coupon bond with an annual yield of 6% (assume semi-annual compounding). Assume the modified duration is 9.71 and the convexity of the bond is 98.97. If the annual yield changes to 7%, what is the approximated percentage price change?
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Government and Not for Profit Accounting Concepts and Practices
Authors: Michael H. Granof, Saleha B. Khumawala
6th edition
978-1-119-4958, 9781118473047, 1118155971, 1118473043, 978-1118155974
