Question
If the modified duration of a bond is 5.6 and the approximate convexity is 125, what should be the approximate price drop for that bond
If the modified duration of a bond is 5.6 and the approximate convexity is 125, what should be the approximate price drop for that bond in percentage for 50bp increase in YTM? What should be the approximate price increase for that bond in percentage for a 50bp decrease in YTM? please provide a detailed answer
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Options Futures and Other Derivatives
Authors: John C. Hull
10th edition
013447208X, 978-0134472089
