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Consider a bond selling at par with modified duration of 7.9 years and convexity of 178. What would be the percentage price change according to
Consider a bond selling at par with modified duration of 7.9 years and convexity of 178. What would be the percentage price change according to the duration with-convexity rule if the yield decreases by 3%?
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The durationwithconvexity rule states that the percentage price change of a bond is equal to the dur...
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Bond Markets Analysis and Strategies
Authors: Frank J.Fabozzi
9th edition
133796779, 978-0133796773
