FINANCE-Using the following data on the price of a bond and the corresponding interest rate

FINANCE-Using the following data on the price of a bond and the corresponding interest rate

Question # 00136093 Posted By: solutionshere Updated on: 11/19/2015 11:40 AM Due on: 12/19/2015
Subject Business Topic General Business Tutorials:
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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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