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1) An analyst is estimating the interest rate risk of a 14% semiannual pay coupon...

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Finance

1) An analyst is estimating the interest rate risk of a 14% semiannual pay coupon with six years to maturity. The bond is currently trading at par. The effective duration and effective convexity of the bond for a 25 basis point change in yield is closest to:

Duration Convexity

a. 3.970 11.6

b. 3.74 11.6

c. 3.97 10.4

d. 3.74 10.4

2) A corporate bond with an 8% annual pay coupon matures in exactly 12 years. The bond is currently yielding 6.8% and is currently callable at a price of 112. The effective duration and convexity of this bond for a 50 basis point change in rates are closest to:

Duration Convexity

a.5.95 41.21

b. 5.95 -327.47

c. 7.80 41.21

d. 7.80 -327.47

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