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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
- Duration only, and
- Duration and convexity together.
Assume par pricing today.
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Cost Benefit Analysis
Authors: Harry F. Campbell, Richard P.C. Brown
3rd Edition
1032320753, 9781032320755
