hard · Quantitative Finance
A 5-year bond with a face value of $1,000 and an annual coupon of 6% is priced at par. If the yield increases by 50 basis points, calculate the estimated price change using both duration and convexity (Duration D = 4.465 years, Convexity C = 22.5).
- Loss of $22.04
- Loss of $22.33
- Loss of $21.76
- Gain of $0.28
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