medium · Quantitative Finance qf-core
A bond with a modified duration of 8.5 years and a convexity of 110 is currently priced at $1,000.
If market yields rise by 50 basis points (0.005), what is the estimated new price of the bond using a second-order approximation?
- 960.25
- 956.13
- 957.50
- 958.88
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