Calculate effective duration effective convexity of bond

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Reference no: EM131078112

A semiannual pay, callable, $1000 par value, 5% coupon, 10-year bond 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 by 100 bps. Now calculate the effective duration the effective convexity of this bond.

Reference no: EM131078112

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