Calculate the delta and the gamma

Assignment Help Financial Management

Reference no: EM132032901

Details of a semiannual bond:

Par value = 1000

Maturity = 4 years

Yield to maturity = 11% per annum

Coupon rate = 8% per year paid semiannually

Duration = 6.941

Modified duration = 6.580

Convexity = 6.680

Calculate the delta and the gamma.

Reference no: EM132032901

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