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If you have a bond with yield - to - maturity 8 % . The approximate modified duration is 9 and approximate convexity is 1

If you have a bond with yield

-

-

maturity

8 % .

The approximate modified duration is

9

and approximate convexity is

105 .

What is the estimated Delta in price resulting from a

100

bps decrease in the yield

-

-

maturity? How much of that adjustment is due to convexity?

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