A 4-year 12 coupon bond has a yield of 10 a what are its, Ask an Expert

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A) 4-year 12% coupon bond has a yield of 10%. a) What are its Macaulay Duration, Modified duration, and convexity (I do not mean effective convexity)?

B) What is the actual price change, Modified Duration predicted price change and Modified Duration + convexity predicted change in price for an increase of 50 basis point in the yield.

Assume a flat term structure before and after the increase and annual coupons. (Note: For convexity do not use effective convexity measure)

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Financial Management, Finance

Category:- Financial Management
Reference No.:- M92690437

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