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Taylor, J.E., Arango, J., Hugo, G., Kouaouci, A., Massey, S.D
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(8 days ago) A 12.75-year maturity zero-coupon bond has a convexity of 150.3 and a modified duration of 11.81 years. A 30-year maturity 6% coupon bond with annual coupon payments has a nearly identical modified duration of 11.79 years, but a considerably higher convexity of 231.2. Suppose the yield to maturity on both bonds increases by 1%.
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Solved IN EXCEL A 12.75-year maturity zero-coupon bond has
(8 days ago) A 12.75-year maturity zero-coupon bond has convexity of 150.3 and modified duration of 11.81 years. A 30-year maturity 6% coupon bond with annual coupon payments has nearly identical modified duration of 11.79 years, but considerably higher convexity of 231.2. Suppose the yield to maturity on both bonds increases by 1%.
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