Question
Use the duration and convexity for c=5% in the previous question to plot the percentage error in the percentage price change in the mortgage when
Use the duration and convexity for c=5% in the previous question to plot the percentage error in the percentage price change in the mortgage when yields change in the range of -3% to +3%, using a. Duration only, and b. Duration and convexity together. Assume par pricing today.
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Handbook Of Financial Cryptography And Security
Authors: Burton Rosenberg, Douglas R. Stinson
1st Edition
1420059815, 978-1420059816
