157****15452022-04-12 23:04:53
157****1545老师你好，这题怎么做?有点晕
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吴珮瑶2022-04-13 14:32:03
吴珮瑶你好同学，
At 5.9%, bond price = $77.8624
At 6.0%, bond price = $76.8852
At 6.1%, bond price = $75.9245
Effective duration = -1/P×(P[+10 bps] - P[-10 bps])/(2×10 bps) = 12.6027.
Effective convexity = 1/P×(P[+10 bps] + P[-10 bps]-2×P[0])/(10 bps)^2 = 213.37.
Estimated change in bond price (given -1.0% yield change) = -D×(-1.0%) + 0.5×C×(-1.0%)^2 = 12.6027% + 1.067% = +13.6695%.
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Diana2022-04-18 21:23:43
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