Convexity × (ΔSpread)2
微信扫一扫
实时资讯全掌握
|
A 9-year corporate bond with a 3.25% coupon is priced at €103.96. This bond’s duration and convexity are 7.8 and 69.8. If the bond’s credit spread widens by 100 basis points, the impact on the bondholder’s return is closest to: A. −7.80%. B. +8.15%. C. −7.45%. |