PRMIA Related Exams
8007 Exam
Consider a binomial lattice where a security price S moves up by a factor u with probability p, or down by a factor d with probability 1 - p. If we set d > 1/u then which of the following will be TRUE?
When a number is written with a fraction as an exponent, such as , which of the following is the correct computation?
A bond has modified duration 6 and convexity 30. Find the duration-convexity approximation to the percentage change in bond price when its yield increases by 5 basis points