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A bond is maturing in 30 years and has a semiannual coupon of 3.5% (for each $100 of notional $3.5/2 is paid every 6 month).

A bond is maturing in 30 years and has a semiannual coupon of 3.5% (for each $100 of notional $3.5/2 is

paid every 6 month).

Suppose the price of this bond is 57-16.

a) Calculate the bonds Yield to Maturity.

b) Suppose you have a position in that bond that has a market value 10 Million. What is the Modified

Duration,

Macaulay Duration, Convexity and DV01 of tha

t portfolio?

c) Suppose you have 10 Million of notional of that bond. What is the Modified Duration, Macaulay Duration,

Convexity and DV01 of that portfolio?

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