Solved: Calculate the convexity of the abc bond, Finance Basics

Calculate the convexity of the abc bond

Problem: Calculate the convexity of the ABC bond

Company    Maturity (years)    Coupon (%)    Price    Yiled to Maturity (%)
ABC 4    10    98      10.63
DEG      8     9     87      11.53
GHI     22    11    102    10.76
JKL 28    10    90      11.17

Suppose market interest rates change by 50 basis points. Estimate the new price of the ABC bond using the follosing:

a. Duration only

b. Duration and convexity

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Finance Basics: Calculate the convexity of the abc bond

Reference No:- TGS02055798

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