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If the effective duration of a $455.4 million portfolio of bonds is 10 and its...

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Finance

If the effective duration of a $455.4 million portfolio of bonds is 10 and its approximate convexity is 250, in dollars terms, how much will the portfolio change in value if interest rates increase 200bps from 7% to 9%? (Hint: use both duration and convexity to estimate the change in the value of the portfolio, pick the closest answer)

Group of answer choices

+$70 million

+$45 million

-$70 million

+$140 million

Answer & Explanation Solved by verified expert
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