There is a bond, which has.A duration of 7 and a convexity of 40. Compute exact and

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There is a bond, which has.A duration of 7 and a convexity of 40. Compute exact and approximate prices.

a) If the bond increases by 3 %, what will its price alter by?

b) If it decreases by 3%, what will the alteration of price be?

c) Discuss without derivations. Are the true results symmetric in the cases?

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Fixed Income Securities Valuation Risk and Risk Management

ISBN: 978-0470109106

1st edition

Authors: Pietro Veronesi

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Posted Date: Jul 25, 2023 03:38 AM

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There is a bond, which has.A duration of 7 and a convexity of 40. Compute exact and

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To compute the exact and approximate prices of the bond we need to use the formula for the price cha... View the full answer

Fixed Income Securities Valuation Risk and Risk Management

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