A bond is traded for $90. When yields changed for 40 basis point in each direction, the

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A bond is traded for $90. When yields changed for 40 basis point in each direction, the prices became $92.2 and $88. What is the approximate convexity of the bond?

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Bond Markets Analysis and Strategies

ISBN: 978-0133796773

9th edition

Authors: Frank J.Fabozzi

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Posted Date: May 17, 2023 02:40 AM

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A bond is traded for $90. When yields changed for 40 basis point in each direction, the

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To calculate the approximate convexity of a bond we need to use the ... View the full answer

Bond Markets Analysis and Strategies

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