FINANCE-Using the following data on the price of a bond and the corresponding interest rate
QUESTION
D.Using the following
data on the price of a bond and the corresponding interest rate (assuming a
flat term structure) and regression method, estimate convexity and duration of
the bond:
Price
Interest Rate
$99 .06
100 .057
101.5
.052
102
.049
105
.044
106.5
.038
108
.033
108.5
.031
110.1 .028
42.
What is the estimated value of Duration?
43. What is the
estimated value of Convexity?
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