Calculate effective convexity for the bond in the terms and conditions box. Yield Curve Data Period...
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Calculate effective convexity for the bond in the terms and conditions box. Yield Curve Data Period 1 2 3 4 5 6 7 8 9 10 Par Value: Pmt Frequency: Trade Date: Settlement Date: 100.00 2.00 per year 14-Mar-2020 15-Mar-2020 Maturity 15-Sep-2020 15-Mar-2021 15-Sep-2021 15-Mar-2022 15-Sep-2022 15-Mar-2023 15-Sep-2023 15-Mar-2024 15-Sep-2024 15-Mar-2025 Coupon (s.a.) 4.000% 4.000% 4.000% 4.000% 4.000% 4.000% 4.000% 4.000% 4.000% 4.000% Bond Terms & Conditions Par Value Coupon Rate Pmt Frequency Maturity YC Shift (bps): Par Value (%) 100.00 3.000% 2.00 per year 5.00 years 25.000 Price (% of Par) 100.000 100.000 100.000 100.000 100.000 100.000 100.000 100.000 100.000 100.000 100.000 100.000 100.000 100.000 100.000 100.000 100.000 100.000 100.000 100.000 Par Rate (BEY) 4.000% 4.000% 4.000% 4.000% 4.000% 4.000% 4.000% 4.000% 4.000% 4.000% Shift Up (BEY) 4.250% 4.250% 4.250% 4.250% 4.250% 4.250% 4.250% 4.250% 4.250% 4.250% Shift Dn (BEY) 3.750% 3.750% 3.750% 3.750% 3.750% 3.750% 3.750% 3.750% 3.750% 3.750% Calculate effective convexity for the bond in the terms and conditions box. Yield Curve Data Period 1 2 3 4 5 6 7 8 9 10 Par Value: Pmt Frequency: Trade Date: Settlement Date: 100.00 2.00 per year 14-Mar-2020 15-Mar-2020 Maturity 15-Sep-2020 15-Mar-2021 15-Sep-2021 15-Mar-2022 15-Sep-2022 15-Mar-2023 15-Sep-2023 15-Mar-2024 15-Sep-2024 15-Mar-2025 Coupon (s.a.) 4.000% 4.000% 4.000% 4.000% 4.000% 4.000% 4.000% 4.000% 4.000% 4.000% Bond Terms & Conditions Par Value Coupon Rate Pmt Frequency Maturity YC Shift (bps): Par Value (%) 100.00 3.000% 2.00 per year 5.00 years 25.000 Price (% of Par) 100.000 100.000 100.000 100.000 100.000 100.000 100.000 100.000 100.000 100.000 100.000 100.000 100.000 100.000 100.000 100.000 100.000 100.000 100.000 100.000 Par Rate (BEY) 4.000% 4.000% 4.000% 4.000% 4.000% 4.000% 4.000% 4.000% 4.000% 4.000% Shift Up (BEY) 4.250% 4.250% 4.250% 4.250% 4.250% 4.250% 4.250% 4.250% 4.250% 4.250% Shift Dn (BEY) 3.750% 3.750% 3.750% 3.750% 3.750% 3.750% 3.750% 3.750% 3.750% 3.750%
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Financial Markets and Institutions
ISBN: 978-0077861667
6th edition
Authors: Anthony Saunders , Marcia Cornett
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