Calculate the duration and convexity of a bond, 20 years to maturity bond and 6% coupon rate.

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Calculate the duration and convexity of a bond, 20 years to maturity bond and 6% coupon rate. Assume a flat yield curve at 4%. (You can use Macaulay or effective versions for duration and convexity).

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Essentials of Investments

ISBN: 978-0077835422

10th edition

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

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Posted Date: Jan 02, 2024 01:23 AM

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Calculate the duration and convexity of a bond, 20 years to maturity bond and 6% coupon rate.

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SOLUTION To calculate the duration and convexity of a bond we need the following information 1 Maturity of the bond 20 years 2 Coupon rate 6 3 Yield curve Flat at 4 Lets start by calculating the price ... View the full answer

Essentials of Investments

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