Question: Bond duration/ convexity, Carnival Complex Analytics Duration to Worst 2.551 Option Adjusted Duration 2.551 Option Adjusted Spread 1,016.195 Convexity to Worst 8.336 Option Adjusted Convexity

  1. Bond duration/ convexity, Carnival

Complex Analytics

Duration to Worst

2.551

Option Adjusted Duration

2.551

Option Adjusted Spread

1,016.195

Convexity to Worst

8.336

Option Adjusted Convexity

8.336

Price is 92.4, YTM 10.162%, maturity 10/1/2023, coupon 7.20% semiannual. Using duration (duration to worst) and convexity (convexity to worst), if the yield FALLS by 60 basis points, what is the dollar and percentage change of the bond?

  1. The Rm (return on the S & P 500) is -5% (negative), the Rf (T-bill or risk-free rate) is 2%, and the beta is -2.00 (negative). If the portfolio is valued at $500,000, what should it be worth after one year?

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