Question
Using bond prices to calculate duration and convexity: A 20-year bond with a 6.5% coupon paid semiannually has a yield of 6.24%. a. Using a
Using bond prices to calculate duration and convexity: A 20-year bond with a 6.5% coupon paid semiannually has a yield of 6.24%.
a. Using a 1 bp change in yield, compute the approximate annual modified duration of the bond. (Be precise to 4 decimals.)
b. Using a 1 bp change in yield, compute the approximate annual convexity of the bond. (Be precise to 2 decimals.)
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Analysis For Financial Management
Authors: Robert C. Higgins
12th International Edition
1260091910, 9781260091915
