Question
If a bond has a convexity of 60 and modified duration of 10, the convexity adjustment (to a duration-based approximation) associated with a 25 basis
If a bond has a convexity of 60 and modified duration of 10, the convexity adjustment (to a duration-based approximation) associated with a 25 basis point interest rate decline is closest to:
a. -0.02875%
b. -0.01875%
c. +0.01875%
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The Essentials Of Machine Learning In Finance And Accounting
Authors: Mohammad Zoynul Abedin, M. Kabir Hassan, Petr Hajek, Mohammed Mohi Uddin
1st Edition
0367480816, 978-0367480813
