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Basic Question 5 of 17
What is the convexity adjustment to the percentage price change of an 11%, 15-year bond selling at par if the convexity measure is 40.625 and there is a 20 basis point change in yield?
B. 0.8125%
C. 1.625%
A. 0.01625%
B. 0.8125%
C. 1.625%
User Contributed Comments 2
| User | Comment |
|---|---|
| robbiecow | According to the CFAI book page 504, Convexity Adjustment uses .5 in the formula. |
| CJPerugini | Do not square the % Change in YTM in decimal form (0.002^2) or else your result will be off by a factor of 2. Use (0.2^2/100) instead. |
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Andrea Schildbach
Learning Outcome Statements
calculate and interpret convexity and describe the convexity adjustment
calculate the percentage price change of a bond for a specified change in yield, given the bond's duration and convexity
CFA® 2024 Level I Curriculum, Volume 4, Module 12.