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
61.6
None of the above
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Financial Reporting And Statement Analysis A Strategic Perspective
Authors: Clyde P. Stickney, Paul Brown
4th Edition
0030238110, 978-0030238116
