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Consider a 5-year, 6.6% coupon bond that is priced to yield 7.2% with bimonthly payments (i.e., once every two months). Calculate duration, modified duration, and
Consider a 5-year, 6.6% coupon bond that is priced to yield 7.2% with bimonthly payments
(i.e., once every two months). Calculate duration, modified duration, and convexity of this
5-year bond! Then, calculate the predicted bond price (predict with both modified duration
and convexity), assuming interest rates rise by 180 bps.
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