CFA Practice Question

There are 252 practice questions for this study session.

CFA Practice Question

Consider the following results for the valuation of a callable bond:

dy = 50 basis points.
V0 = 100.525.
V+ = 99.968.
V- = 101.235.

The effective convexity of the bond is:
Correct Answer: 60.88

(V- + V+ - 2 x V0) / (V0 x dy2) = (101.235 + 99.968 - 2 x 100.525) / (100.525 x 0.0052) = 60.88.

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