Consider a Bond Selling at Par with Modified Duration of 10.6

Consider a bond selling at par with modified duration of 10.6 years and convexity of 210.A 2 percent decrease in yield would cause the price to increase by 21.2%,according to the duration rule.What would be the percentage price change according to the duration-with-convexity rule?

A) 21.2%
B) 25.4%
C) 17.0%
D) 10.6%
E) none of the above.

Correct Answer:

Verified

Unlock this answer now
Get Access to more Verified Answers free of charge

Access For Free