Effective duration is essential to measuring interest rate risk of a bond with an embedded call option because:
举一反三
- The interest rate risk of a fixed-rate bond with an embedded call option is best measured by: A: Effective duration B: Modified duration C: Macaulay duration
- The interest rate risk of a fixed-rate bond with an embedded call option is best measured by:
- Increasing duration implies that interest - rate risk has increased.
- Which of the following steps is NOT used in the full valuation approach in measuring interest rate risk() A: Estimate hypothetical changes in required yields. B: Calculate the bond’s convexity. C: Recompute bond prices using the new required yields.
- The duration of a ten - year, 10 percent coupon bond when the interest rate is 10 percent is 6.76 years. What happens to the price of the bond if the interest rate falls to 8 percent?