Calculate the effective duration of bond

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Question - A 5-year $100 par value bond has 6.7% coupon payable semiannually. Its current price is 101.2606 and it is yielding 6.4 convertible semiannually. If the yield rate decreases by 0.1% its price increases to 101.693. if the yield rate increases by 0.1%. its price decreases to 100.8422.

Required -

a) Calculate the effective duration of bond.

b) Calculate the effective convexity of bond.

c) Estimate the price of bond if yield increases by 0.75%.

Reference no: EM133249359

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