Use the following discount factors when needed.
-Calculate the convexity of the following portfolio:
i. 2 units of a 1.5-year ?xed rate bond paying 6% quarterly.
ii. 4 units of a 1.75-year ?oating rate bond paying ?oat + 80 bps semi- annually. You know that the reference rate was 7% three months ago. 13
iii. 6 units of a 2-year zero coupon bond.
iv. 1 units of a 1.5-year ?oating rate bond with no spread paid semian- nually.

Question

Use the following discount factors when needed. 
-Calculate the convexity of the following portfolio: 
i. 2 units of a 1.5-year ?xed rate bond paying 6% quarterly.
 ii. 4 units of a 1.75-year ?oating rate bond paying ?oat + 80 bps semi- annually. You know that the reference rate was 7% three months ago. 13
 iii. 6 units of a 2-year zero coupon bond. 
iv. 1 units of a 1.5-year ?oating rate bond with no spread paid semian- nually.

Quizplus · Accepted Answer

The Answer of Use the following discount factors when needed. 
-Calculate the convexity of the following portfolio: 
i. 2 units of a 1.5-year ?xed rate bond paying 6% quarterly.
 ii. 4 units of a 1.75-year ?oating rate bond paying ?oat + 80 bps semi- annually. You know that the reference rate was 7% three months ago. 13
 iii. 6 units of a 2-year zero coupon bond. 
iv. 1 units of a 1.5-year ?oating rate bond with no spread paid semian- nually.

Use the Following Discount Factors When Needed