A 9-year maturity zero-coupon bond selling at a yield to maturity of 7.75% (effective annual yield) has convexity of 169.5 and modified duration of 8.06 years. A 30-year maturity 7.5% coupon bond making annual coupon payments also selling at a yield to maturity of 7.75% has nearly identical duration8.04 yearsbut considerably higher convexity of 257.5. a. Suppose the yield to maturity on both bonds increases to 8.75%. What will be the actual percentage capital loss on each bond? What percentage capital loss would be predicted by the duration-with-convexity rule