Consider a semi-annual coupon payment bond selling at par ($1000) with a coupon rate of 4% and

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Consider a semi-annual coupon payment bond selling at par ($1000) with a coupon rate of 4% and 3 years to maturity.

(a) Calculate the percentage change in the bond price if the yield increases from 4% to 5%.

(b) Calculate the Modified Duration for the bond.

(d) Calculate the Convexity for the bond.

(e) Calculate the percentage change in bond price based on duration and convexity if the yield increases from 4% to 5%?

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Bond Markets Analysis and Strategies

ISBN: 978-0133796773

9th edition

Authors: Frank J.Fabozzi

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Posted Date: Mar 12, 2024 03:59 AM

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Consider a semi-annual coupon payment bond selling at par ($1000) with a coupon rate of 4% and

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a Calculate the percentage change in the bond price if the yield increases from 4 to 5 Given Coupon ... View the full answer

Bond Markets Analysis and Strategies

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