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I. Assume a bond has 8% coupon and 10 years to maturity. It pays coupons semiannually. Its yield to maturity is 6%. a) Calculate its
I. Assume a bond has 8% coupon and 10 years to maturity. It pays coupons semiannually. Its yield to maturity is 6%. a) Calculate its duration. b) Calculate its convexity. c) If interest rate increase to 7%, what is the change in its price: i. Using only duration adjustment Using both duration and convexity adjustment
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