a) For the bond with a coupon of 5.5% paid annually, with 10
years to maturity and a YTM of 6.10, calculate the duration and
b) For the bond described in a) above, calculate the convexity.
c) Calculate the price change for a 50 basis point drop in yield using duration plus convexity.
d) Samantha and Roberta are discussing the riskiness of two treasury bonds A& B with the following features:
Samantha claims that Bond B has more price volatility because of its higher modified duration. Roberta disagrees and claims that Bond A has more price volatility despite its lower modified duration. Who is right?
to calculate duration modified duration convexity and price change referthe attached images with detailed calculations.
Get Answers For Free
Most questions answered within 1 hours.