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Convexity (4) Duration and Convexity The following data was taken from Thompson Reuters Eikon. Company Coupon Payment Modified Yield [% p.a.) frequency Duration [% p.a.)

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Convexity (4) Duration and Convexity The following data was taken from Thompson Reuters Eikon. Company Coupon Payment Modified Yield [% p.a.) frequency Duration [% p.a.) [annual] Diageo 4.850 Semi-annual 4.043 2.397 GKN 5.375 Semi-annual 7.408 4.678 Vedanta 7.125 Semi-annual 6.557 8.091 Bond Price [] 19.588 60.118 56.69 110.61 104.62 93.629 -x 100%= (-Dj* Ay x100%) + - { x x * Convexity (Ay)?

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