Question
There is a bond, which has.A duration of 7 and a convexity of 40. Compute exact and approximate prices. a) If the bond increases by
There is a bond, which has.A duration of 7 and a convexity of 40. Compute exact and approximate prices.
a) If the bond increases by 3 %, what will its price alter by?
b) If it decreases by 3%, what will the alteration of price be?
c) Discuss without derivations. Are the true results symmetric in the cases?
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Fixed Income Securities Valuation Risk and Risk Management
Authors: Pietro Veronesi
1st edition
0470109106, 978-0470109106
