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Basic Question 21 of 24
Consider the following results for the valuation of a callable bond:
V0 = 100.525.
V+ = 99.968.
V- = 101.235.
dy = 50 basis points.
V0 = 100.525.
V+ = 99.968.
V- = 101.235.
The effective convexity of the bond is:
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I am using your study notes and I know of at least 5 other friends of mine who used it and passed the exam last Dec. Keep up your great work!
Barnes
Learning Outcome Statements
explain why effective duration and effective convexity are the most appropriate measures of interest rate risk for bonds with embedded options
calculate the percentage price change of a bond for a specified change in benchmark yield, given the bond's effective duration and convexity
CFA® 2025 Level I Curriculum, Volume 4, Module 13.