Question
For the following bond, Par value: $1,000 Coupon rate: 8% paid annually Time to maturity: 3 years Interest rate: 4% What is the convexity? Also
For the following bond, Par value: $1,000 Coupon rate: 8% paid annually Time to maturity: 3 years Interest rate: 4% What is the convexity? Also if the interest rate increases from 4% to 5% what is the price change due to the convexity?
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Financial Institutions Management A Risk Management Approach
Authors: Anthony Saunders, Marcia Cornett
6th Edition
0077211332, 9780077211332
