Reading 23 - Yield Curve strategies - extra item set questions PDF (Q14)
Apologies in advance as I know this is a very basic question…
The answer to Q14 says that (–MDeh × ∆yield) + [½ ×Convexity × (∆yield)2] to calc the expected change in price based on yield view. That’s fine, I understand this part of the formula. However it then plugs the numbers in and gets a completely different answer to me:
[–4.12 × –0.55%]+ [½ × 24.98 ×(–0.55%)2] = 2.3%
The answer should be 6.04% shouldn’t it? If anyone can confirm it would be much appreciated as this has been driving me slightly crazy for the past hour!
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