Using the following data on the price of a bond and the, Ask an Expert

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Using the following data on the price of a bond and the corresponding interest rate (assuming a flat term structure) and regression method, estimate convexity and duration of the bond:

Price Interest Rate

99 .06

100 .057

101.5 .052

102 .04

105 .044

106.5 .038

108 .033

108.5 .031

110.1 .028

1. What is the estimated value of Duration?

2. What is the estimated value of Convexity?

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Financial Management, Finance

Category:- Financial Management
Reference No.:- M92728149

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