Using duration plus convexity adjustment

Assignment Help Financial Management

Reference no: EM131600184

A portfolio manager owns a bond that is currently priced at par value. The bond has a modified duration of 15 and a convexity statistic of 120. The portfolio manager is attempting to estimate what the bond’s price would be assuming its yield to maturity increased by 150 basis points. Using the duration plus convexity adjustment to estimate the percent change in price for this bond, what would be the estimated percent change in bond price assuming its yield to maturity increased by 150 bps?

Reference no: EM131600184

Questions Cloud

Consider portfolio manager who owns the bond portfolio : Consider a portfolio manager who owns the following bond portfolio (all bonds pay interest semiannually).

Describe the general standard : Describe the "general standard" (or "general duty standard") of the Occupational Safety and Health Act, and the workers' rights guaranteed by OSHA.

Respect to interest rates after purchasing the bond : What would the investor want to happen with respect to interest rates after purchasing the bond: for interest rates to increase, decrease, or remain unchanged?

How much would profits increase or decrease : If Cane discontinues the Beta product line, how much would profits increase or decrease

Using duration plus convexity adjustment : Using the duration plus convexity adjustment to estimate the percent change in price for this bond,

Calculate approximate percent increase in price for bond : Calculate the approximate percent increase in price for this bond using the duration/convexity adjustment method

What is predatory pricing : Do economists think that predatory pricing is commonly employed as a profitable business strategy? Why or why not?

Prepare a summary table that reports the indirect expenses : Woh Che Co. has four departments: materials, personnel, manufacturing, and packaging. Prepare a summary table that reports the indirect expenses

What price and quantity will result in oligopolist market : Suppose a group of oligopolists does not collude but instead reaches a Nash equilibrium. What price and quantity will result in this oligopolist market?

User Account

All Pages