Question
You have a 25-year maturity, 10% coupon, 10%-yield bond with a duration of 10 years and a convexity of 135.5. If the interest rate were
You have a 25-year maturity, 10% coupon, 10%-yield bond with a duration of 10 years and a convexity of 135.5. If the interest rate were to fall 125 basis points, what is your predicted new price for the bond (including convexity)?
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Introduction To Mathematical Finance Discrete Time Models
Authors: Stanley R. Pliska
1st Edition
1557869456, 9781557869456
