Question
. Use duration rule and duration rule + convexity. Which is a better predictor of price change? with falling 75 bp, duration is 4% and
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. Use duration rule and duration rule + convexity. Which is a better predictor of price change?
with falling 75 bp, duration is 4% and duration and convexity is 5%, price change is also 5%
With failing 150bp, duration is 8% and duration and convexity is 8.5%, price change is also 8.5%
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International Financial Management
Authors: Cheol Eun, Bruce Resnick
4th Edition
0072996862, 9780072996869
