medium · FRM Part 1 Valuation and Risk Models
An investor holds a bond with a modified duration of 7.5 and a convexity of 120.
If interest rates increase by 150 basis points, what is the approximate percentage change in the bond's price using both duration and convexity?
- -9.90%
- -11.25%
- -10.58%
- -12.60%
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