A Dutch bank holds a large position in a zero-coupon Federal Republic of Germany government bond maturing

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A Dutch bank holds a large position in a zero-coupon Federal Republic of Germany government bond maturing on 11 April 2025. The yield-to-maturity is −0.72% for settlement on 11 May 2020, stated as an effective annual rate on an Actual/Actual basis. That settlement date is 30 days into the 365-day year using this day count method.


Calculate the approximate modified duration and approximate convexity using a 1 bp increase and decrease in the yield-to-maturity.

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Fixed Income Analysis

ISBN: 9781119850540

5th Edition

Authors: Barbara S. Petitt

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