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QUESTION
A semiannual pay, callable, $1000 par value, 5% coupon, 10-yearbond is currently priced to yield 4.80% per year. The bond is callable at 102.
A semiannual pay, callable, $1000 par value, 5% coupon, 10-yearbond is currently priced to yield 4.80% per year. The bond is callable at 102. Calculate the price of the bond if yield increases by 100 bps. Calculate the price of the bond if yield decreases by100 bps. Now calculate the effective duration the effective convexity of this bond.
