T r05 0031 00415 0052 006the interest rates are annual, Ask an Expert

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t , r

0.5 , 0.03

1 , 0.04

1.5 ,0.05

2 , 0.06

The interest rates are annual (r) compounded semi-annually.

Calculate the modied duration and convexity of the bond in (1). You can use the approximation formulas from class.

What is the approximate percentage change in the bond price if the zero-curve shifts down by one percentage point (i.e. r2;0:5 = 0:02, r2;1 = 0:03, etc.)?

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Financial Management, Finance

Category:- Financial Management
Reference No.:- M92857778

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