- This topic has 3 replies, 2 voices, and was last updated Jul-1810:14 am by
.
-
Posts
-
-
Up5
Does it show any working or explanation to go with the answer?
-
Up4
I would agree with that, but the answer is -3.89. Not sure why…
-
Up2
This is calculated using the Taylor series approximation using duration and convexity.
% change in Price = – Duration x change in yield + 1/2 x convexity x change in yield squared
so….
% change = – 5.3 x 0.0075 + 0.5 x 0.325 x 0.0075^2 = -0.03974 %
So the price will reduce by 3.974% from 104.03 to 99.90
-
Viewing 2 reply threads
- You must be logged in to reply to this topic.