4.33) Portfolio A consists of a 1-year, zero coupon, $2,000 par bond and a 10-year, zero coupon, $6,000 par bond. Portfolio B is solely a 5.95-year zero coupon $5,000 par bond. The bonds all yield 10% annually. Calculate each portfolios price, duration, and convexity. Note that for a 10 basis point (bp), 0.10%, yield rise both the: 1) duration and 2) duration with convexity adjustment B/B approximations work well for both portfolios and both approximation methods (their absolute errors from the actual B/B are < 0.00005). For a 500 bp yield rise, calculate each portfolios B/B using: 1) the duration approximation, 2) the duration with convexity adjustment approximation and 3) the actual bond portfolios prices. Then calculate the errors (actual B/B approximate B/B) for both portfolios B/B using both approximation approaches. Are the absolute errors greater for the 500 bp or the 10 bp yield rise? Why? For which portfolio does the 500 bp yield rise duration B/B approximation work worst? Why? For each portfolio, how much does the convexity adjustment reduce the 500 bp yield rise B/B approximation error in percentage terms?