Suppose you have a 2-year bond with a coupon rate of 5% and a yield to maturity of 6%. This bond's current price is €981.67, and its Macaulay duration is 1.952 years. What is your bond's convexity? What is the expected price change if yield to maturity goes up to 8% (use the convexity augmented formula)? O a. 5.1688, -2.79% O b.5.1688, -3.79% O. 4.1688, -2.79% O d.4.1688, -3.79%
Suppose you have a 2-year bond with a coupon rate of 5% and a yield to maturity of 6%. This bond's current price is €981.67, and its Macaulay duration is 1.952 years. What is your bond's convexity? What is the expected price change if yield to maturity goes up to 8% (use the convexity augmented formula)? O a. 5.1688, -2.79% O b.5.1688, -3.79% O. 4.1688, -2.79% O d.4.1688, -3.79%
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
Problem 1PS
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Transcribed Image Text:Suppose you have a 2-year bond with a coupon rate of 5% and a yield to maturity of 6%. This bond's current price is €981.67, and its Macaulay
duration is 1.952 years. What is your bond's convexity? What is the expected price change if yield to maturity goes up to 8% (use the convexity
augmented formula)?
O a. 5.1688, -2.79%
O b.5.1688, -3.79%
O. 4.1688, -2.79%
O d.4.1688, -3.79%
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