Consider 1-factor model and assume that the price of a certain fixed income security P(y) for y=9% 9.05% and 8.95% is given by P(0.09)=$5,000; P(0.0905)=$4,980; P(0.0895)=$5,030. Find the estimate for DVO1, Duration, and Convexity of this security. Keep at least 4 decimal digits while performing your calculations.

Consider 1-factor model and assume that the price of a certain fixed income security P(y) for y=9% 9.05% and 8.95% is given by P(0.09)=$5,000; P(0.0905)=$4,980; P(0.0895)=$5,030. Find the estimate for DVO1, Duration, and Convexity of this security. Keep at least 4 decimal digits while performing your calculations.

EBK CONTEMPORARY FINANCIAL MANAGEMENT

14th Edition

ISBN:9781337514835

Author:MOYER

Publisher:MOYER

Chapter8: Analysis Of Risk And Return

Section: Chapter Questions

Problem 26P

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