Computation of effective duration of a bond for change

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Computation of effective duration of a bond for change in interest rates

1. Calculate the effective duration of a bond to a 100 basis point change in interest rates with a 6-1/4 coupon, 10-years remaining to maturity, and an asking quote of 110.7811 (decimal, not 32nds).

2. Calculate the effective convexity to a 100 basis point change of the bond.

3. Calculate the total percentage price change (duration and convexity) to a 65 basis point decrease in interest rates for the bond in Questions 1 and 2.

Reference no: EM1314608

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