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 in 3.5 years with the same principal? The yields of the bonds are 2% and 3% respectively ( Hint first find the PV and then calc the convexity)
| NONE OF THE ABOVE | ||
| 62.5 | ||
| 61.6 | ||
| 64.1 |
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Handbook Of Asian Finance Financial Markets And Sovereign Wealth Funds
Authors: David Lee, Greg N. Gregoriou
1st Edition
0128009829, 978-0128009826
