medium · FRM Part 1 Valuation and Risk Models
A bond with a modified duration of 7.2 years and a convexity of 60 is currently priced at $100.
If market yields rise by 150 basis points (0.015), what is the estimated new price of the bond using both duration and convexity?
- $90.550
- $89.875
- $89.200
- $110.800
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