are related and share the same information: It is May 18. 2017. You have a 510,000 semi-annual bond with a coupon rate of 10.375% which matures May 5, 2044. The bond is priced to yield 13.500%, the duration is 7.81 years, and the convexity is 99.87 years squared. Using a duration estimate only, we predict that if market yields increase by 50 basis points then the price of this bond will decrease by % (percent. rounded three places after the decimal) QUESTION 10 The convexity correction is calculated as % (percent. rounded three places after the decimal) (refers to the above problem statement) QUESTION 11 So the total decrease in price is predicted to be % (percent. rounded three places after the decimal) (refers to the above problem statement)
Questions 9-11 are related and share the same information: It is May 18. 2017. You have a 510,000 semi-annual bond with a coupon rate of 10.375% which matures May 5, 2044. The
QUESTION 10
The convexity correction is calculated as % (percent. rounded three places after the decimal) (refers to the above problem statement)
QUESTION 11
So the total decrease in price is predicted to be % (percent. rounded three places after the decimal) (refers to the above problem statement)
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