Explanation:
effective convexity = priceup+pricedownβ2Γprice0P0Γ(Ξyield)2\frac{\text{price}_{\text{up}} + \text{price}_{\text{down}} - 2 \times \text{price}_0}{P_0 \times (\Delta \text{yield})^2}P0βΓ(Ξyield)2priceupβ+pricedownββ2Γprice0ββ
effective convexity = 92.2492+87.5436β(2Γ89.8529)89.8529Γ0.0032\frac{92.2492 + 87.5436 - (2 \times 89.8529)}{89.8529 \times 0.003^2}89.8529Γ0.003292.2492+87.5436β(2Γ89.8529)β
effective convexity = 107.7
(Book 4, Module 58.2, LO 58.f)
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Question 49 of 100 The effective convexity for a 30 basis point change in yield is closest to:
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