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If a bond has a convexity of 60 and a modified duration of 10, the convexity adjustment a for a 25 basis point drop in
If a bond has a convexity of 60 and a modified duration of 10, the convexity adjustment a
for a 25 basis point drop in interest rate is closest to
a.-1.0375% b.-0.0325% c.-0.0375 d.+ 0.0325% e.+0.0375
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Elementary Statistics
Authors: Mario F. Triola
3rd Canadian Edition
032122597X, 978-0321225979
