Question
The yield on all bonds is currently 2% per annum (continuously compounded).Find the duration and convexity of a portfolio consisting of the following bonds: i.
The yield on all bonds is currently 2% per annum (continuously compounded).Find the duration and convexity of a portfolio consisting of the following bonds:
i. One zero-coupon bond with a face value of 5,000 and a maturity of one year ii. One zero-coupon bond with a face value of 10,000 and a maturity of 10 years
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Entrepreneurial Finance
Authors: J. Chris Leach, Ronald W. Melicher
2nd Edition
0324289235, 9780324289237
