Treasury bond pays a coupon of 12% per year (semiannually). The maturity is 2 years, face value

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Treasury bond pays a coupon of 12% per year (semiannually). The maturity is 2 years, face value is 100. The yield maturity is 18%.

Question 1. What is the price of a bond? what is the duration of the bond?

Question 2. What is the convexity of the bond? If the interest rate rises by 0.5%, what will be the change in bond price?

Related Book For answer-question

Options Futures and Other Derivatives

ISBN: 978-0134472089

10th edition

Authors: John C. Hull

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Posted Date: Feb 03, 2023 11:32 PM

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Treasury bond pays a coupon of 12% per year (semiannually). The maturity is 2 years, face value

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Options Futures and Other Derivatives

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