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You happen to have a 20yr bond with 7.5% annual payment which settles on a coupon...

You happen to have a 20yr bond with 7.5% annual payment which settles on a coupon date. Bond yield to maturity is 9.4%.

1.What is the bonds Macauley Duration

2. Whats the bond’s approximate modified duration in this example? Please use yield changes of +/- 30 bps around the yield to maturity

3.what is the convexity for the bond (approx.)

4. Find the change in the full bond price for a 40 bps change in yield.

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