What is the approximate convexity of the bond above assuming a 10bp change in its annual yield-to-maturity?

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What is the approximate convexity of the bond above assuming a 10bp change in its annual yield-to-maturity?

Round immediate numbers in your calculations to 4 decimal places. Round the denominator in convexity to 6 decimals.

Annualized Yield. Bond's price

8.50%. 96.899

8.95%. 94.212

9.05%. 93.629

9.50%. 91.059

Related Book For answer-question

Financial Markets And Institutions

ISBN: 978-0132136839

7th Edition

Authors: Frederic S. Mishkin, Stanley G. Eakins

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Posted Date: Apr 13, 2023 02:52 AM

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What is the approximate convexity of the bond above assuming a 10bp change in its annual yield-to-maturity?

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Convexity P P 2P0 P0 x y2 Price at 850 yield 96899 Price a... View the full answer

Financial Markets And Institutions

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