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A 1 2 - year maturity zero - coupon bond selling at a yield to maturity of 5 . 2 5 % ( effective annual
A year maturity zerocoupon bond selling at a yield to maturity of effective annual yield has convexity of and modified
duration of years. A year maturity coupon bond making annual coupon payments also selling at a yield to maturity of
has nearly identical duration yearsbut considerably higher convexity of
a Suppose the yield to maturity on both bonds increases to What will be the actual percentage capital loss on each bond?
What percentage capital loss would be predicted by the durationwithconvexity rule? Input all amounts as positlve volues. Do not
round Intermedlate colculatlons. Round your answers to declmal places.
b Suppose the yield to maturity on both bonds decreases to What will be the actual percentage capital loss on each bond?
What percentage capital loss would be predicted by the durationwithconvexity rule? Input all amounts os positive volues. Do not
round Intermedlate colculatlons. Round your answers to decimal places.
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