medium · FRM Part 1 Valuation and Risk Models
A portfolio has a modified duration of 5.0 and a convexity of 50. If the yield increases from 4% to 6%, the duration-only predicted price change is -10.0%.
What is the convexity-adjusted predicted price change?
- -9.9%
- -9.0%
- -11.0%
- -8.0%
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