11) The following data relating to Australian Commonwealth Government securities was current on 23rd September, 2016: Coupon Rate on bonds with two years to maturity: 3.25%pa Market Yield to Maturity on bonds with two years to maturity: 1.60%pa Par value of bonds: $1000.00 Assuming for the sake of this question that coupons are paid annually, and that there were exactly twelve months until the payment of the next coupon on September 23rd, a) Identify the cash flows to which the above bond would entitle an investor. (1 mark) b) Estimate the current price of the bond. (1 mark) c) Calculate the Macaulay Duration, Modified Duration and Convexity of the bond. (4 marks) d) Calculate what the price of this bond would be if the yield to maturity was 3.60% per annum. (1 mark) e) Compare this calculated price with estimates derived from (i) the Modified Duration Rule (ii) the Convexity + Modified Duration Rule Identify the error resulting from the use of both approximations. (5 marks) [Total: 12 marks]