Bond Yields and Prices
Ex. Yield on 8% 5 year bond selling at par has duration* of 4.31 years rates go to 71/2%. ΔP/P = - 4.31* (-.005) = .0216 =2.16%. Convexity. If you have large yield changes then modified duration becomes less accurate. Duration equation assumes a linear relationship between price and yield ................
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