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Solutions to in-calss exercises_Chapter 7

# Solutions to in-calss exercises_Chapter 7 - 2 = 816.33 So...

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1 Solution to in-class exercise 1   Answer  C)

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2 Solution to in-class exercise 2   Answer  D)
3 Solution to in-class exercise 3 Answer  B)

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4 Solution to in-class exercise 4   Answer D    The duration of this bond = (101 – 96) / (2 × 98  × 0.0025) = 10.20. The convexity of this bond  = (96 + 101 – 2 × 98) / (2 × 98 × (0.0025
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Unformatted text preview: 2 )) = 816.33. So when the yield rises by 50 basis points, the bond price roughly drops by [-10.2 × 0.005 × 100 + 816.33 × (0.005 2 ) × 100] = 3.06, or 3.06%, to 95% of the par, or 95...
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Solutions to in-calss exercises_Chapter 7 - 2 = 816.33 So...

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