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Business, 18.02.2020 22:50 Clervoyantyvonne

A 10-year maturity zero-coupon bond selling at a yield to maturity of 7.25% (effective annual yield) has convexity of 157.5 and modified duration of 9.06 years. A 30-year maturity 7.5% coupon bond making annual coupon payments also selling at a yield to maturity of 7.25% has nearly identical duration—9.04 years—but considerably higher convexity of 251.6.

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A 10-year maturity zero-coupon bond selling at a yield to maturity of 7.25% (effective annual yield)...

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