A bond portfolio has effective duration 5and convexity -23.The current market value of the portfolio is $100Billion.Use Taylor approximation and Duration and Convexity to find what would be the market value of the portfolio if the spot yield curve experiences a parallel shift down by 10basis points.

One basis point is0.01%

Answer rating: 100% (QA)

Absolutely we can use Taylor series approximation with Duration and Convexity to estimate the new ma... View the full answer