Question
what is the convexity of the portfolio of a zero coupon maturing in 5 years whose principal is 100,000 maturing in 10 years and a
what is the convexity of the portfolio of a zero coupon maturing in 5 years whose principal is 100,000 maturing in 10 years and a zero coupon bond maturing with the same principal? The yields of the bonds are 2% and 3% respectively ( Hint first find the PV and then calc the convexity)
| 64.1 | ||
| 62.5 | ||
| NONE OF THE ABOVE | ||
| 61.6 |
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Cost Accounting A Managerial Emphasis
Authors: Charles T. Horngren, Srikant M. Datar, George Foster
12th edition
978-0131495388
