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Which of the following statements about duration is NOT correct A. Effective duration is the exact change in price due to a 100 basis point change in rates. B. For a specific bond, the effective duration formula results in a value of 8.80%. For a 50 basis point change in yield, the approximate change in price of the bond would be 4.40%. C. The numerator of the effective duration formula assumes that market rates increase and decrease by the same number of basis points. |