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A bond has a Macaulay duration of 7.2 years and convexity of 173.0. Interest rates are currently constant at...

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A bond has a Macaulay duration of 7.2 years and convexity of 173.0. Interest rates are currently constant at 8.9%. There is a 23% chance of interest rates increasing to 11.4%, a 40% chance of interest rates staying constant, and a 37% chance of interest rates decreasing to 6.4%. Under this scenario, what is the standard deviation of bond returns?

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To calculate the standard deviation of bond returns under the given scenario we need to consider the 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: September 07, 2023 02:07:34
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