Question: If a nonparallel increase in the yield will occur, which of the following bonds will depreciate the most? Bond A Bond B Bond C Bond

If a nonparallel increase in the yield will occur, which of the following bonds will depreciate the most?

Bond A

Bond B

Bond C

Bond Modified Duration Convexity Yield
A 5.78074 28.95068 25 bps
B 6.70123 42.57169 15 bps
C 8.75121 81.07524 10 bps

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