medium · Quantitative Finance qf-core
A bond's price is P = $1,020 with a modified duration of D = 7.2 and convexity C = 85.
If the market yield rises by 60 basis points (0.0060), what is the estimated percentage change in the bond's price using a second-order Taylor expansion?
- -4.320%
- -4.014%
- -4.167%
- +0.153%
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