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Unformatted text preview: closest to: Duration Convexity a. 3.970 11.6 b. 3.74 11.6 c. 3.97 10.4 d. 3.74 10.4 4) An investor is analyzing at a bond that has an effective duration of 10.5 and a convexity of 97.3. Using both of these measures, the percentage change in price for this bond, given market yields are expected to decline by 200 basis points, is closest to: a. 18.37% b. 20.04% c. 22.23% d. 24.89% 5) A corporate bond with an 8% annual pay coupon matures in exactly 12 years. The bond is currently yielding 6.8% and is currently callable at a price of 112. The effective duration and convexity of this bond for a 50 basis point change in rates are closest to: Duration Convexity a. 5.95 41.21 b. 5.95-327.47 c. 7.80 41.21 d. 7.80-327.47 6) A 10 year semiannual pay bond with an 8% coupon is currently selling at par. The price value of a basis point for this bond is closest to: a. $0.055 b. $0.068 c. $0.076 d. $.136...
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- Spring '10
- Interest Rates