medium · Quantitative Finance qf-core
A 5-year bond with a face value of $1,000 has a duration of 4.5 years and a convexity of 25.
If the market yield increases from 4.0% to 4.5%, what is the estimated percentage change in the bond price?
- -2.25%
- -2.22%
- -4.50%
- 0.03%
Sign up free to see the explanation and track your rank →
More Quantitative Finance qf-core practice
- If the flat yield curve is at 4% (continuously compounded), what is the bond's price?
- As the number of assets n approaches infinity, what happens to the total portfolio varianc
- What is the fair no-arbitrage price for a six-month (T = 0.5) forward contract?
- Calculate the price of a zero-coupon bond that pays $1000 in two years, given that the one
- If the risk-neutral probability of an up move is p = 0.6, what is the expected stock price
- According to the Merton portfolio problem, what is the optimal fraction π^* of wealth to h
- A portfolio has a daily expected return of 0.05% and a daily volatility of 1.2%. Using the
- If yesterday's return was 2% and the conditional variance was 0.0001, what is the updated