Question
You have a 15 year maturity with a yield of 0.07 yield (in decimals), with duration of 9 years and a convexity of 124.9. The
You have a 15 year maturity with a yield of 0.07 yield (in decimals), with duration of 9 years and a convexity of 124.9. The bond is currently priced at $805.76. If the interest rate were to increase 68 basis points, compute the predicted new price for the bond, including convexity.
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Personal Finance
Authors: E. Thomas Garman, Raymond Forgue
9th Edition
0618938737, 978-0618938735
