a bond has an annual modified duration of 6.25 years and an annual convexity of 45.25. If the bond's yield to maturity decreases by 50 basis points, the expected percentage price change is closest to: a)3.07% b)-3.07% c)-2.65%
a bond has an annual modified duration of 6.25 years and an annual convexity of 45.25. If the bond's yield to maturity decreases by 50 basis points, the expected percentage price change is closest to: a)3.07% b)-3.07% c)-2.65%
Chapter8: Analysis Of Risk And Return
Section: Chapter Questions
Problem 10P
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a bond has an annual modified duration of 6.25 years and an annual convexity of 45.25. If the bond's yield to maturity decreases by 50 basis points, the expected percentage price change is closest to:
a)3.07%
b)-3.07%
c)-2.65%
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