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A 20-year maturity bond that makes coupon payments annually has a duration of 10.865 years, convexity of 160.59, and...

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A 20-year maturity bond that makes coupon payments annually has a duration of 10.865 years, convexity of 160.59, and coupon rate of 8%. The bond sells at a yield to maturity of 5%. If the market rate drops by 99 basis points, what would be the price change (in $) according to the duration-with-convexity rule?

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To calculate the price change using the duration with convexity rule we need to use the followin View the full answer


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Investments

Investments

ISBN: 9780073530703

9th Edition

Authors: Zvi Bodie, Alex Kane, Alan J. Marcus

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Posted Date: June 03, 2023 04:28:11
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