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Old 05-03-2002, 01:47 PM
llll llll is offline
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Join Date: Nov 2001
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Default Convexity of callable bond

230 Spring 1999 question #2 asked how interest rate change affect the duration and convexity of a callable bond.

For convexity, I only know it is negative for a callable bond. Can someone tell how it vary with interest rate?

This question is included in JAM Condensed Outline page pp-6 Question #2 part b. (without answer).

Thanks in advance.
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