A 5-year 7.10% G-sec yields 6.80%. Compute its price, Macaulay duration, modified duration, convexity and DV01 per ₹100 face. Estimate the price change for ±50 bp with the second-order approximation, and compare with exact repricing. A bank holds ₹500 crore face of this bond. What is its PV01 in rupees?
M11 · Problem 2 ★ Check
Pricing a G-sec
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