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A bond has a modified duration of 6 and a convexity of 62.5. What happens to the bond's price if interest rates rise 25 basis points? It goes:
?P = [(-MD × ?y) + (convexity) × (?y)2] × 100 ?P = [(-6 × 0.0025) + (62.5) × (0.0025)2] × 100 = -1.461%
?P = [(-MD × ?y) + (convexity) × (?y)2] × 100
?P = [(-6 × 0.0025) + (62.5) × (0.0025)2] × 100 = -1.461%
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发表于 2011-3-30 16:21
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