Question
Suppose that you have a bond position worth $100 million. Your position has a modified duration of 8 years and a convexity of 150. By
Suppose that you have a bond position worth $100 million. Your position has a modified duration of 8 years and a convexity of 150. By how much does the value of the position change if interest rates increase by 25 basis points? Use the duration-convexity rule.
| a. ($1,953,125) | ||
| b. ($1,906,250) | ||
| c. ($2,046,875) | ||
| d. ($2,187,500) |
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Income Tax Fundamentals 2013
Authors: Gerald E. Whittenburg, Martha Altus Buller, Steven L Gill
31st Edition
1111972516, 978-1285586618, 1285586611, 978-1285613109, 978-1111972516
