Suppose the yield curve is flat at 4%, and you bought 100 4-year, 2% coupon bonds with

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Suppose the yield curve is flat at 4%, and you bought 100 4-year, 2% coupon bonds with faces of $1,000, exposing you to IR risk. (a) What's the bond's convexity? (b) What is the approximate price change if yield is 5%? (c) Suppose you have 5 and 7-year zeros available. How would you hedge duration and convexity? (d) What happens to the portfolio if yield goes to 5%?

Posted Date: May 15, 2024 01:05 PM

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Suppose the yield curve is flat at 4%, and you bought 100 4-year, 2% coupon bonds with

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Okay lets solve this stepbystep a Calculating the bonds convexity Given Price of the bond P 1000 Cou... View the full answer

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