Suppose the yield increases by 0.0005 over a week. a. Compute the new price of Bondy Bond.
Question:
Suppose the yield increases by 0.0005 over a week.
a. Compute the new price of Bondy Bond.
b. Compute the actual change in bond prices.
c. Use a duration based formula to predict the change in Bondy Bond’s price. How does this compare with the actual change?
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a The new yield y 1 old yield change in yield y y 00715054906 00005 00720 We use this yield to compu...View the full answer
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Related Book For
An Introduction to Derivative Securities Financial Markets and Risk Management
ISBN: 978-0393913071
1st edition
Authors: Robert A. Jarrow, Arkadev Chatterjee
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