hard · CFA Level I Fixed Income
Oakridge Capital is analyzing a 3-year, 5% annual-pay bond yielding 4%. The modified duration is 2.75 and the convexity is 10.2.
If interest rates rise by 150 basis points, the estimated percentage price change, including the convexity adjustment, is closest to:
- -4.01%
- -4.13%
- -3.89%
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