Explanation:
N = 2 × 22; PMT = 40 / 2; FV = 1,000; I/Y = 5 / 2; CPT → PV = 867.481 = V₀
N = 2 × 22; PMT = 40 / 2; FV = 1,000; I/Y = 5.05 / 2; CPT → PV = 861.484 = V₊
N = 2 × 22; PMT = 40 / 2; FV = 1,000; I/Y = 4.95 / 2; CPT → PV = 873.534 = V₋
Convexity =
(Book 4, Module 58.2, LO 58.f)
Question 24
A $1,000 par bond with 22 years to maturity and a 4% semiannual coupon has a yield to maturity of 5%. Assuming a 5 basis point change in yield, the convexity of the bond is closest to:
A
B
C
D
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