Consider a bond that has 3 years until maturity. The bond pays a coupon of 3% quarterly, has a face value of $10,000, and the yield to maturity for similar bonds is 5%.

What are the duration, modified duration, and convexity of this bond?

If the yield to maturity were to shift downward by 0.25%, what do duration by itself and both duration and convexity predict the price change will be? 

What is the step by step calculations needed to acquire the given answer?

Answer rating: 100% (QA)

To calculate the duration modified duration and convexity of the bond we can use the following formu... View the full answer