Given PV(0) = 1000, PV(-) = 1003.64, PV(+) = 996.38 and dy (change in yield) = 20

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Given PV(0) = 1000, PV(-) = 1003.64, PV(+) = 996.38 and dy (change in yield) = 20 basis points, what is the approximate convexity for this bond?

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Bond Markets Analysis and Strategies

ISBN: 978-0133796773

9th edition

Authors: Frank J.Fabozzi

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Posted Date: Apr 11, 2023 02:27 AM

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Given PV(0) = 1000, PV(-) = 1003.64, PV(+) = 996.38 and dy (change in yield) = 20

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Expert Answer:

To calculate the approximate convexity of a bond we can use the following formula Conv... View the full answer

Bond Markets Analysis and Strategies

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