medium · Principles of Finance valuation
A 10-year 6% annual coupon bond is trading at par. If the yield to maturity increases by 50 basis points (0.50%), and the bond has a modified duration of 7.36 and a convexity of 65.8, what is the estimated percentage change in the bond price using the second-order Taylor approximation?
- -3.68%
- +0.08%
- -3.60%
- -3.76%
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