Convexity × (ΔSpread)2
微信扫一扫
实时资讯全掌握
|
A corporate bond with a 4.25% coupon is priced at $104.03. This bond’s duration and reported convexity are 5.3 and 0.325. If the bond’s credit spread widens by 75 basis points due to a credit rating downgrade, the impact on the bondholder’s return is closest to: A. −3.96%. B. +4.05%. C. −3.89%. |