Financial Risk Manager Part 1
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Interest Rate Level Callable Bond Value in USD per USD 100 face value Call Option Value in USD per USD 100 face value 3.95% 97.9430 2.1972 4.00% 97.8910 2.1090 4.05% 97.8566 2.0035
The convexity of the callable bond can be estimated as:
| Interest Rate Level | Callable Bond Value in USD per USD 100 face value | Call Option Value in USD per USD 100 face value |
|---|---|---|
| 3.95% | 97.9430 | 2.1972 |
| 4.00% | 97.8910 | 2.1090 |
| 4.05% | 97.8566 | 2.0035 |
The convexity of the callable bond can be estimated as:
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Last updated: February 18, 2026 at 03:17A
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