Question
Consider a bond selling at par with modified duration of 10.6 and convexity of 210. What would be the percentage price change following a 2%
Consider a bond selling at par with modified duration of 10.6 and convexity of 210. What would be the percentage price change following a 2% decrease in yield to maturity, according to the duration-with-convexity rule?
17%
21.2%
29.6%
25.4%
23.3%
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Financial Markets and Institutions
Authors: Frederic S. Mishkin, Stanley G. Eakins
5th edition
321280299, 321280296, 978-0321280299
