A financial institution that has assets of $1 million invested in a 20-year, 8% semiannual coupon Treasury bond selling at par. The financial institution has liabilities of $900,000 financed -through a 3-year, 6.15% semiannual coupon note selling at par. a) Calculate duration, modified, and convexity for the 20-year bond s CF DF PV PV xt x (t+.5 Notational value Coupon rate (APR) Years Duration Modified Duration Convexity 0.5 1.0 OR Bond price at-.01% Bond price at + .01%96 (at higher rate) +AP (at lower rate) +AP/P Convexity