hard · Certified Financial Planner Risk Management

The Inoue household is comparing two bonds. Bond A has a duration of 7 and high convexity. Bond B has a duration of 7 and low convexity.

If interest rates fall by 1%, which bond will experience a greater price increase?

  1. The zero-coupon bond will rise the most regardless of convexity.
  2. Bond B, because low convexity bonds are more sensitive to rate drops.
  3. Both bonds will rise by exactly 7%, as duration is the sole determinant of price change.
  4. Bond A, because convexity understates price gains when rates fall.

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